THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS

DOI10.1142/S0219024908005032zbMath1180.91283OpenAlexW2109617541MaRDI QIDQ3621561

Ashish Jain, Mark N. Broadie

Publication date: 21 April 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908005032

zbMATH Keywords

stochastic volatilityvariance swapsvolatility swapsVIXjump models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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