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

DOI10.1007/S00780-013-0212-9zbMath1275.91129OpenAlexW2052334904MaRDI QIDQ377448

Mohammad Hasan, H. S. Yoon

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

hedgingLévy processtime changevariance swapgamma swapmoment swapweighted variation swap

Mathematics Subject Classification ID

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

Related Items (3)

Model-independent hedging strategies for variance swaps ⋮ Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity ⋮ Simplified stochastic calculus via semimartingale representations

Cites Work

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• Asymptotic properties of realized power variations and related functionals of semimartingales
• Pricing options on realized variance
• Stochastic Volatility for Lévy Processes
• On the Decomposition of Continuous Submartingales
• On Wald's equations in continuous time
• ON CONTINUOUS MARTINGALES

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