Asymptotic and exact pricing of options on variance (Q1936829)

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Asymptotic and exact pricing of options on variance
scientific article

    Statements

    title
    Asymptotic and exact pricing of options on variance (English)
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    publication date
    7 February 2013
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    zbMATH Keywords
    realized variance
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    quadratic variation
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    option pricing
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    small-time asymptotics
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    Fourier-Laplace methods
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    Identifiers

    zbMATH DE Number
    6135143
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    OpenAlex ID
    W3125787730
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    arXiv ID
    1003.5514
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