Volatility swaps and volatility options on discretely sampled realized variance
Year of publication: |
2014
|
---|---|
Authors: | Lian, Guanghua ; Chiarella, Carl ; Kalev, Petko S. |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 47.2014, C, p. 239-262
|
Publisher: |
Elsevier |
Subject: | Realized variance | Variance swaps | Volatility swaps | Variance options | Stochastic volatility | Fourier-cosine series |
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