Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
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Publication:5962135
DOI10.1007/s11147-009-9048-zzbMath1208.91146MaRDI QIDQ5962135
Publication date: 16 September 2010
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-009-9048-z
options; asymptotic methods; pricing; Lévy models; stochastic time change; variance swaps; volatility swaps
91G70: Statistical methods; risk measures
91G20: Derivative securities (option pricing, hedging, etc.)
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