RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES (Q2800053): Difference between revisions

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+EXACT SIMULATION OF THE 3/2 MODEL
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+Change of Time and Change of Measure
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+A new approach for option pricing under stochastic volatility
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+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
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+PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
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+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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+THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS  IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
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+Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes
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+Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
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+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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