Carr, Peter; Lee, Roger - In: Finance and Stochastics 17 (2013) 4, pp. 685-716
, respectively, quadratic variation, variance swaps, and gamma swaps. We prove that a multiple of a log contract prices a G … quadratic G and continuity of the underlying paths, each valuation multiplier is 2, recovering the standard no-jump variance and … directions this work extends Carr–Lee–Wu, which priced only variance swaps. First, we generalize from quadratic variation to G …