Variation and share-weighted variation swaps on time-changed Lévy processes (Q377448)
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scientific article; zbMATH DE number 6223040
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| English | Variation and share-weighted variation swaps on time-changed Lévy processes |
scientific article; zbMATH DE number 6223040 |
Statements
Variation and share-weighted variation swaps on time-changed Lévy processes (English)
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6 November 2013
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Lévy process
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time change
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hedging
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variance swap
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gamma swap
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moment swap
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weighted variation swap
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0.9590439
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0.8993916
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0.8874783
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0.88457453
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0.88067144
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0.8744648
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0.87392825
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0.87180036
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