A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
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Publication:1754049
DOI10.1016/j.ejor.2017.04.007zbMath1403.91334MaRDI QIDQ1754049
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
91G20: Derivative securities (option pricing, hedging, etc.)