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

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