Variance swaps on time-changed Lévy processes

DOI10.1007/s00780-011-0157-9zbMath1266.60085MaRDI QIDQ1761447

Xianqiang Yang

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-011-0157-9

zbMATH Keywords

Lévy process; time change; variance swap

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H30: Applications of stochastic analysis (to PDEs, etc.)

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