Volatility derivatives in market models with jumps (Q3107936)
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scientific article; zbMATH DE number 5991977
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Volatility derivatives in market models with jumps |
scientific article; zbMATH DE number 5991977 |
Statements
VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS (English)
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28 December 2011
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processes with jumps
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Lévy and local Lévy processes
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laws of realized variance
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volatility derivatives
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variance swaps
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Markov chain approximations
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0.7755445837974548
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0.7751498222351074
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0.7618882656097412
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0.7599925398826599
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0.7568790316581726
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