Variance swaps on time-changed Lévy processes
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Publication:1761447
DOI10.1007/s00780-011-0157-9zbMath1266.60085OpenAlexW2116550835MaRDI QIDQ1761447
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
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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