Variance swaps on time-changed Lévy processes
Year of publication: |
2012
|
---|---|
Authors: | Carr, Peter ; Lee, Roger ; Wu, Liuren |
Published in: |
Finance and Stochastics. - Springer. - Vol. 16.2012, 2, p. 335-355
|
Publisher: |
Springer |
Subject: | Variance swap | Lévy process | Time change |
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