Volatility derivatives in market models with jumps
Year of publication: |
2011
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Authors: | Lo, Harry ; Mijatovi´c, Aleksandar |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 7, p. 1159-1193
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Subject: | Processes with jumps | Lévy and local Lévy processes | laws of realized variance | volatility derivatives | variance swaps | Markov chain approximations | Volatilität | Volatility | Derivat | Derivative | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Swap |
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