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~person:"MIJATOVIĆ, ALEKSANDAR"
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Lévy and local Lévy processes
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Markov chain approximations
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Processes with jumps
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laws of realized variance
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variance swaps
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volatility derivatives
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MIJATOVIĆ, ALEKSANDAR
Torricelli, Lorenzo
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VOLATILITY
DERIVATIVES
IN MARKET MODELS WITH JUMPS
LO, HARRY
;
MIJATOVIĆ, ALEKSANDAR
- In:
International Journal of Theoretical and Applied …
14
(
2011
)
07
,
pp. 1159-1193
volatility
derivatives
and derivatives on the corridor-realized variance in such a market. The class of models under …
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