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

DOI10.1007/S00780-013-0212-9MaRDI QIDQ377448zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Variance swaps on time-changed Lévy processes
• Pricing variance swaps on time-changed Markov processes
• Variance swaps on defaultable assets and market implied time-changes
• Variance-optimal hedging for time-changed Lévy processes
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
• Variance swaps under multiscale stochastic volatility of volatility
• A time-dependent variance model for pricing variance and volatility swaps
• On the valuation of variance swaps with stochastic volatility
• Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process
• Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes

Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Calcul stochastique et problèmes de martingales
• Exponential families of stochastic processes
• ON CONTINUOUS MARTINGALES
• On Wald's equations in continuous time
• On the Decomposition of Continuous Submartingales
• Pricing options on realized variance
• Stochastic Volatility for Lévy Processes
• Variance swaps on time-changed Lévy processes

Cited in

(5)

• Variance swaps on time-changed Lévy processes
• Variance swaps on defaultable assets and market implied time-changes
• Simplified stochastic calculus via semimartingale representations
• Model-independent hedging strategies for variance swaps
• Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity

This page was built for publication: Variation and share-weighted variation swaps on time-changed Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q377448)