Quadratic variation, models, applications and lessons

DOI10.3934/fmf.2021007zbMath1498.91456OpenAlexW3216665224MaRDI QIDQ2170296

Dilip B. Madan, King-Hang 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 processSato Lévy mixturesself decomposable lawsvolatility of variance

Mathematics Subject Classification ID

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

Related Items (1)

OPTION SURFACE STATISTICS WITH APPLICATIONS

Cites Work

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