VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS (Q3107936)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS |
scientific article |
Statements
VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS (English)
0 references
28 December 2011
0 references
processes with jumps
0 references
Lévy and local Lévy processes
0 references
laws of realized variance
0 references
volatility derivatives
0 references
variance swaps
0 references
Markov chain approximations
0 references
0 references
