Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case

DOI10.1007/s11147-009-9048-zzbMath1208.91146MaRDI QIDQ5962135

Peter Carr, Andrey Itkin

Publication date: 16 September 2010

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9048-z

zbMATH Keywords

options; asymptotic methods; pricing; Lévy models; stochastic time change; variance swaps; volatility swaps

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case, Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model, New solvable stochastic volatility models for pricing volatility derivatives, Pricing average options under time-changed Lévy processes, Risk adjustments of option prices under time-changed dynamics, CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS, EXACT SIMULATION OF THE 3/2 MODEL

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