Discretely sampled variance and volatility swaps versus their continuous approximations (Q1945043): Difference between revisions

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+Moment explosions in stochastic volatility models
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+Variance swaps on time-changed Lévy processes
@@ Property / cites work: Variance swaps on time-changed Lévy processes / rank @@
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+A new approach for option pricing under stochastic volatility
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+Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
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+A general version of the fundamental theorem of asset pricing
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+The fundamental theorem of asset pricing for unbounded stochastic processes
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+An affine property of the reciprocal Asian option process
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+Q4778955
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+Q4328337
@@ Property / cites work: Q4328337 / rank @@
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