Pricing options on discrete realized variance with partially exact and bounded approximations (Q4683116): Difference between revisions

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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+Options on Realized Variance in Log-OU Models
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+Local volatility of volatility for the VIX market
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
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+Asymptotic and exact pricing of options on variance
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+A comparison of biased simulation schemes for stochastic volatility models
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+The value of an Asian option
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+CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
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+Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
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