Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models

DOI10.1007/978-3-319-45875-5_11zbMath1391.91157OpenAlexW2559215089MaRDI QIDQ4976502

Jan Kallsen, Giso Jahncke

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_11

zbMATH Keywords

Lévy processesoption pricingapproximationrealized variance

Mathematics Subject Classification ID

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

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