Variation and share-weighted variation swaps on time-changed Lévy processes
Year of publication: |
2013
|
---|---|
Authors: | Carr, Peter ; Lee, Roger |
Published in: |
Finance and Stochastics. - Springer. - Vol. 17.2013, 4, p. 685-716
|
Publisher: |
Springer |
Subject: | Lévy process | Time change | Hedging | Variance swap | Gamma swap | Moment swap | Weighted variation swap |
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