Volatility swaps and volatility options on discretely sampled realized variance
Guanghua Lian; Carl Chiarella; Petko S. Kalev
| Year of publication: |
2014
|
|---|---|
| Authors: | Lian, Guanghua ; Chiarella, Carl ; Kalev, Petko S. |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 47.2014, p. 239-262
|
| Subject: | Realized variance | Variance swaps | Volatility swaps | Variance options | Stochastic volatility | Fourier-cosine series | Volatilität | Volatility | Swap | Varianzanalyse | Analysis of variance | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionsgeschäft | Option trading |
| 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://ebvufind01.dmz1.zbw.eu/10010485855