Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change
Zhigang Tong, Allen Liu
| Year of publication: |
June-September 2017
|
|---|---|
| Authors: | Tong, Zhigang ; Liu, Allen |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 2/3, p. 1-24
|
| Subject: | Stochastic time change | eigenfunction expansion | generalized variance swap | Levy subordinator | absolutely continuous time change process | Stochastischer Prozess | Stochastic process | Swap | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786317500281 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011778268