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  • Search: subject:"weighted variation swap"
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Hedging 2 Lévy process 2 Gamma swap 1 Moment swap 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Swap 1 Time change 1 Variance swap 1 Volatility 1 Volatilität 1 Weighted variation swap 1 gamma swap 1 hedging 1 moment swap 1 time change 1 variance swap 1 weighted variation swap 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Carr, Peter 2 Lee, Roger 2
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Finance and Stochastics 1 Finance and stochastics 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Variation and share-weighted variation swaps on time-changed Lévy processes
Carr, Peter; Lee, Roger - In: Finance and Stochastics 17 (2013) 4, pp. 685-716
For a family of functions G, we define the G-variation, which generalizes power variation; G-variation swaps, which pay the G-variation of the returns on an underlying share price F; and share-weighted G-variation swaps, which pay the integral of F with respect to G-variation. For instance, the...
Persistent link: https://www.econbiz.de/10010997066
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Cover Image
Variation and share-weighted variation swaps on time-changed Lévy processes
Carr, Peter; Lee, Roger - In: Finance and stochastics 17 (2013) 4, pp. 685-716
Persistent link: https://www.econbiz.de/10010190886
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