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Correlation 1 Interest rate derivative 1 Korrelation 1 Option pricing theory 1 Optionspreistheorie 1 Swap 1 Volatility 1 Volatilität 1 Zinsderivat 1 averaged swap pricing 1 correlation swaps 1 covariance swaps 1 semi-Markovvolatility 1 variance swaps 1 volatility swaps 1
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CC license 1 Free 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Franco, Sebastian 1 Sviščuk, Anatolij 1
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Risks : open access journal 1
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Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities
Sviščuk, Anatolij; Franco, Sebastian - In: Risks : open access journal 11 (2023) 9, pp. 1-22
In this article, we study stochastic orders over an interval. Mainly, we focus on orders related to the Laplace transform. The results are then applied to obtain a bound for heavy-tailed distributions and are illustrated by some examples. We also indicate how these ordering relationships can be...
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