Variance swaps on time-changed Lévy processes
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References listed on IDEAS
- 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.
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- Lian, Guanghua & Chiarella, Carl & Kalev, Petko S., 2014. "Volatility swaps and volatility options on discretely sampled realized variance," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 239-262.
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- repec:eee:ejores:v:262:y:2017:i:1:p:381-400 is not listed on IDEAS
- Robert Jarrow & Younes Kchia & Martin Larsson & Philip Protter, 2013. "Discretely sampled variance and volatility swaps versus their continuous approximations," Finance and Stochastics, Springer, vol. 17(2), pages 305-324, April.
More about this item
KeywordsVariance swap; Lévy process; Time change; 60G51; 91B28; G13;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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