Variation and share-weighted variation swaps on time-changed Lévy processes

DOI10.1007/S00780-013-0212-9zbMATH Open1275.91129OpenAlexW2052334904MaRDI QIDQ377448FDOQ377448

Authors: Peter Carr, Roger Lee 

Publication date: 6 November 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-013-0212-9

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zbMATH Keywords

hedgingvariance swapgamma swapmoment swaptime changeweighted variation swapLévy process

Mathematics Subject Classification ID

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

Cites Work

• Asymptotic properties of realized power variations and related functionals of semimartingales
• Stochastic Volatility for Lévy Processes
• Title not available (Why is that?)
• Calcul stochastique et problèmes de martingales
• On the Decomposition of Continuous Submartingales
• ON CONTINUOUS MARTINGALES
• Pricing options on realized variance
• Variance swaps on time-changed Lévy processes
• Exponential families of stochastic processes
• On Wald's equations in continuous time

Cited In (5)

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• Model-independent hedging strategies for variance swaps
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• Simplified stochastic calculus via semimartingale representations
• Variance swaps on defaultable assets and market implied time-changes

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