Hedging variance options on continuous semimartingales
| Year of publication: |
2010
|
|---|---|
| Authors: | Carr, Peter ; Lee, Roger |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 14.2010, 2, p. 179-207
|
| Publisher: |
Springer |
| Subject: | Continuous semimartingale | Variance option | Superreplication | Subreplication | Price bounds |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008515593