Quadratic variation, models, applications and lessons

DOI10.3934/FMF.2021007MaRDI QIDQ2170296zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, K.-H. Wang

Publication date 30 August 2022

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/fmf.2021007

zbMATH Keywords

bilateral gammaSato processself decomposable lawsvolatility of varianceSato Lévy mixtures

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)

Recommendations

• Pricing options on realized variance
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• Model-independent hedging strategies for variance swaps
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Cites work

• scientific article; zbMATH DE number 3025555 (Why is no real title available?)
• Arbitrage bounds for prices of weighted variance swaps
• Hedging variance options on continuous semimartingales
• Measuring and monitoring the efficiency of markets
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Option implied VIX, skew and kurtosis term structures
• Pricing options on realized variance
• Robust replication of volatility and hybrid derivatives on jump diffusions
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Self-similarity in long-horizon returns
• Stochastic volatility, jumps and hidden time changes
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Time changes for Lévy processes
• Towards a theory of volatility trading
• Variance swaps on time-changed Lévy processes

Cited in

(3)

• Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion
• The bilateral Gamma motion: calibration and option pricing
• Option surface statistics with applications

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