THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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Publication:3621561
DOI10.1142/S0219024908005032zbMath1180.91283MaRDI QIDQ3621561
Publication date: 21 April 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024908005032
91G60: Numerical methods (including Monte Carlo methods)
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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