RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES (Q2800053)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES |
scientific article |
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RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES (English)
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14 April 2016
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time-changed Lévy processes
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variance options
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volatility swaps
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discrete sampling
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