Pages that link to "Item:Q1761447"

The following pages link to Variance swaps on time-changed Lévy processes (Q1761447):

Displaying 28 items.

• An investigation of model risk in a market with jumps and stochastic volatility (Q323232) (← links)
• On exact pricing of FX options in multivariate time-changed Lévy models (Q345721) (← links)
• Variation and share-weighted variation swaps on time-changed Lévy processes (Q377448) (← links)
• Variance-optimal hedging for target volatility options (Q380555) (← links)
• Clustered Lévy processes and their financial applications (Q515759) (← links)
• Model-independent hedging strategies for variance swaps (Q693029) (← links)
• Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing (Q889626) (← links)
• American option valuation under time changed tempered stable Lévy processes (Q1620146) (← links)
• Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
• Discretely sampled variance and volatility swaps versus their continuous approximations (Q1945043) (← links)
• Root's barrier: construction, optimality and applications to variance options (Q1950255) (← links)
• Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Quadratic variation, models, applications and lessons (Q2170296) (← links)
• A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
• Pricing average options under time-changed Lévy processes (Q2447509) (← links)
• Variance Swaps on Defaultable Assets and Market Implied Time-Changes (Q2813077) (← links)
• MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS (Q2831008) (← links)
• A dynamic equilibrium model for U-shaped pricing kernels (Q4554467) (← links)
• Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
• Prices and Asymptotics for Discrete Variance Swaps (Q4585896) (← links)
• Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes (Q4682477) (← links)
• Pricing Variance Swaps on Time-Changed Markov Processes (Q4999901) (← links)
• MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS (Q5148008) (← links)
• On Carr and Lee’s Correlation Immunization Strategy (Q5382633) (← links)
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
• Robust replication of volatility and hybrid derivatives on jump diffusions (Q6054385) (← links)