Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
Wendong Zheng (Hong Kong University of Science and Technology, Hong Kong), Chi Hung Yuen (The Chinese University of Hong Kong, Hong Kong), Yue Kuen Kwok (Department of Mathematics, Hong Kong University of Science and Technology, Hong Kong)
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Zheng, Wendong ; Yuen, Chi Hung ; Kwok, Yue-Kuen |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 2, p. 1-29
|
| Subject: | Time-changed Lévy processes | variance options | volatility swaps | discrete sampling | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Swap | Optionsgeschäft | Option trading | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500114 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011455019