Pricing options on realized variance
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Publication:2488490
DOI10.1007/s00780-005-0155-xzbMath1096.91022OpenAlexW3124924390MaRDI QIDQ2488490
Dilip B. Madan, Peter Carr, Hélyette Geman, Marc Yor
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-005-0155-x
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)
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