Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 13 (2010)
Issue (Month): 2 (July)
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Web page: http://www.springerlink.com/link.asp?id=102989
Variance swaps; Volatility swaps; Options; Levy models; Stochastic time change; Asymptotic method; Closed-form solution; Pricing; C63; C65;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Time-Changed Levy Processes and Option Pricing,"
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- Damir Filipovic, 2001. "A general characterization of one factor affine term structure models," Finance and Stochastics, Springer, vol. 5(3), pages 389-412.
- Jan Baldeaux & Alexander Badran, 2012.
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- Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Papers 1203.5903, arXiv.org, revised Aug 2012.
- Andrey Itkin, 2012. "New solvable stochastic volatility models for pricing volatility derivatives," Papers 1205.3550, arXiv.org, revised Jun 2012.
- 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.
- Carole Bernard & Zhenyu Cui, 2013. "Prices and Asymptotics for Discrete Variance Swaps," Papers 1305.7092, arXiv.org.
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