Asymptotic and exact pricing of options on variance (Q1936829): Difference between revisions

@@ Property / DOI @@
-.1007/s00780-012-0178-z
@@ Property / DOI: 10.1007/s00780-012-0178-z / rank @@
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@@ Property / arXiv ID: 1003.5514 / rank @@
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@@ Property / cites work @@
+Numerical Inversion of Laplace Transforms of Probability Distributions
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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@@ Property / cites work @@
+Pricing options on realized variance
@@ Property / cites work: Pricing options on realized variance / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical inversion of the Laplace transform: a survey and comparison of methods
+Normal rank
@@ Property / cites work @@
+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of power variations of Lévy processes
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@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
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@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
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@@ Property / cites work @@
+PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
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@@ Property / cites work @@
+MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
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@@ Property / cites work @@
+Small-Time Asymptotics of Option Prices and First Absolute Moments
+Normal rank
@@ Property / cites work @@
+Q5516901
@@ Property / cites work: Q5516901 / rank @@
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@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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@@ Property / cites work @@
+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
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@@ Property / cites work @@
+Q3321201
@@ Property / cites work: Q3321201 / rank @@
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@@ Property / DOI @@
+.1007/S00780-012-0178-Z
@@ Property / DOI: 10.1007/S00780-012-0178-Z / rank @@
+Normal rank