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Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case

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  • Andrey Itkin

    ()

  • Peter Carr

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11147-009-9048-z
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Bibliographic Info

Article provided by Springer in its journal Review of Derivatives Research.

Volume (Year): 13 (2010)
Issue (Month): 2 (July)
Pages: 141-176

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Handle: RePEc:kap:revdev:v:13:y:2010:i:2:p:141-176

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Web page: http://www.springerlink.com/link.asp?id=102989

Related research

Keywords: Variance swaps; Volatility swaps; Options; Levy models; Stochastic time change; Asymptotic method; Closed-form solution; Pricing; C63; C65;

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References

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  1. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  2. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, July.
  3. Peter Carr & Hélyette Geman & Dilip Madan & Marc Yor, 2005. "Pricing options on realized variance," Finance and Stochastics, Springer, vol. 9(4), pages 453-475, October.
  4. Peter Carr & Jian Sun, 2007. "A new approach for option pricing under stochastic volatility," Review of Derivatives Research, Springer, vol. 10(2), pages 87-150, May.
  5. Wim Schoutens, 2005. "Moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 525-530.
  6. Damir Filipovic, 2001. "A general characterization of one factor affine term structure models," Finance and Stochastics, Springer, vol. 5(3), pages 389-412.
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Cited by:
  1. Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carol Methods for the Heston Model," Research Paper Series 307, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Research Paper Series 306, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Andrey Itkin, 2013. "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, vol. 16(2), pages 111-134, July.
  4. Carole Bernard & Zhenyu Cui, 2013. "Prices and Asymptotics for Discrete Variance Swaps," Papers 1305.7092, arXiv.org.
  5. Leunglung Chan & Eckhard Platen, 2010. "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers 1007.2968, arXiv.org, revised Jan 2011.
  6. Akira Yamazaki, 2014. "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 17(1), pages 79-111, April.

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