Variation and share-weighted variation swaps on time-changed Lévy processes (Q377448): Difference between revisions

@@ Property / DOI @@
-.1007/s00780-013-0212-9
@@ Property / DOI: 10.1007/s00780-013-0212-9 / rank @@
-Normal rank
@@ Property / author @@
+H. S. Yoon
@@ Property / author: H. S. Yoon / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6223040
@@ Property / zbMATH DE Number: 6223040 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Lévy process
@@ Property / zbMATH Keywords: Lévy process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+time change
@@ Property / zbMATH Keywords: time change / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+hedging
@@ Property / zbMATH Keywords: hedging / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+variance swap
@@ Property / zbMATH Keywords: variance swap / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+gamma swap
@@ Property / zbMATH Keywords: gamma swap / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+moment swap
@@ Property / zbMATH Keywords: moment swap / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+weighted variation swap
@@ Property / zbMATH Keywords: weighted variation swap / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-013-0212-9
+Normal rank
@@ Property / OpenAlex ID @@
+W2052334904
@@ Property / OpenAlex ID: W2052334904 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing options on realized variance
@@ Property / cites work: Pricing options on realized variance / rank @@
+Normal rank
@@ Property / cites work @@
+Variance swaps on time-changed Lévy processes
@@ Property / cites work: Variance swaps on time-changed Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+On the Decomposition of Continuous Submartingales
@@ Property / cites work: On the Decomposition of Continuous Submartingales / rank @@
+Normal rank
@@ Property / cites work @@
+ON CONTINUOUS MARTINGALES
@@ Property / cites work: ON CONTINUOUS MARTINGALES / rank @@
+Normal rank
@@ Property / cites work @@
+On Wald's equations in continuous time
@@ Property / cites work: On Wald's equations in continuous time / rank @@
+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 realized power variations and related functionals of semimartingales
+Normal rank
@@ Property / cites work @@
+Exponential families of stochastic processes
@@ Property / cites work: Exponential families of stochastic processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S00780-013-0212-9
@@ Property / DOI: 10.1007/S00780-013-0212-9 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:377448