Options on realized variance and convex orders
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Publication:2866381
DOI10.1080/14697680903397675zbMath1277.91164OpenAlexW3121610548MaRDI QIDQ2866381
Marc Yor, Hélyette Geman, Dilip B. Madan, Peter Carr
Publication date: 13 December 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://eprints.bbk.ac.uk/id/eprint/1947/1/1947.pdf
Processes with independent increments; Lévy processes (60G51) Economic time series analysis (91B84) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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