Variation and share-weighted variation swaps on time-changed Lévy processes
Peter Carr; Roger Lee
| Year of publication: |
2013
|
|---|---|
| Authors: | Carr, Peter ; Lee, Roger |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 4, p. 685-716
|
| Subject: | Lévy process | time change | hedging | variance swap | gamma swap | moment swap | weighted variation swap | Swap | Stochastischer Prozess | Stochastic process | Hedging | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010190886