Variance swaps on time-changed Lévy processes
| Year of publication: |
2012
|
|---|---|
| Authors: | Carr, Peter ; Lee, Roger ; Wu, Liuren |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 16.2012, 2, p. 335-355
|
| Publisher: |
Springer |
| Subject: | Variance swap | Lévy process | Time change |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010539357