A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

DOI10.1016/j.ejor.2017.04.007zbMath1403.91334OpenAlexW2605254628MaRDI QIDQ1754049

Xianqiang Yang

Publication date: 30 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.04.007

zbMATH Keywords

stochastic volatilityfinanceregime-switchingvolatility derivativesjump diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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