Quadratic variation, models, applications and lessons
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Publication:2170296
DOI10.3934/FMF.2021007zbMATH Open1498.91456OpenAlexW3216665224MaRDI QIDQ2170296FDOQ2170296
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
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)
Cites Work
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- Arbitrage bounds for prices of weighted variance swaps
- Hedging variance options on continuous semimartingales
- Stochastic volatility, jumps and hidden time changes
- Pricing options on realized variance
- Towards a theory of volatility trading
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Variance swaps on time-changed Lévy processes
- Title not available (Why is that?)
- Time changes for Lévy processes
- On fractional Lévy processes: tempering, sample path properties and stochastic integration
- OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES
- MEASURING AND MONITORING THE EFFICIENCY OF MARKETS
- Self‐similarity in long‐horizon returns
- Robust replication of volatility and hybrid derivatives on jump diffusions
Cited In (2)
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