Variance swaps on time-changed Lévy processes
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: | Swap | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
-
A structural framework for the pricing of corporate securities : economic and empirical issues
Genser, Michael, (2006)
-
On the Valuation of Variance Swaps with Stochastic Volatility
Zhu, Song-Ping, (2011)
-
A Unified Valuation Framework for Variance Swaps under Non-Affine Stochastic Volatility Models
Badescu, Alex, (2017)
- More ...
-
Variance swaps on time-changed Lévy processes
Carr, Peter, (2012)
-
Variance swaps on time-changed Lévy processes
Carr, Peter, (2012)
-
Robust replication of volatility and hybrid derivatives on jump diffusions
Carr, Peter, (2021)
- More ...