Variance swaps on time-changed Lévy processes
Peter Carr; Roger Lee; Liuren Wu
| Year of publication: |
2012
|
|---|---|
| Authors: | Carr, Peter ; Lee, Roger ; Wu, Liuren |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 16.2012, 2, p. 335-355
|
| Subject: | Stochastischer Prozess | Stochastic process | Swap | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009544664