CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (Q2927954): Difference between revisions

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+https://doi.org/10.1111/mafi.12016
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+W2330403207
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
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@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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@@ Property / cites work @@
+Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
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