Variation and share-weighted variation swaps on time-changed Lévy processes

DOI10.1007/s00780-013-0212-9zbMath1275.91129MaRDI QIDQ377448

Mohammad Hasan, H. S. Yoon

Publication date: 6 November 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-013-0212-9

zbMATH Keywords

hedging; Lévy process; time change; variance swap; gamma swap; moment swap; weighted variation swap

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G20: Derivative securities (option pricing, hedging, etc.)