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Variance swaps on time-changed Lévy processes · Study

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ArticleVariance swaps on time-changed Lévy processes

Peter Carr2011

Article2011

Variance swaps on time-changed Lévy processes

Peter Carr · Roger Lee · Liuren Wu

87 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 1978Prices of State-Contingent Claims Implicit in Option Prices 2008Variance Risk Premiums 1979Calcul Stochastique et Problèmes de Martingales 2003Stochastic Volatility for Lévy Processes 2006The Volatility Surface: A Practitioner's Guide 2010Towards a Theory of Volatility Trading

Cited by

2013Model-Free Volatility Indexes in the Financial Literature: A Review 2013Prices and Asymptotics for Discrete Variance Swaps 2012Model-independent hedging strategies for variance swaps 2021A fractional Black-Scholes model with stochastic volatility and European option pricing 2012The Swaption Cube 2020Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

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Year2011

Typearticle

Published2011-03-23

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations87

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-011-0157-9

openalex_workW2116550835

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2012

Discretely sampled variance and volatility swaps versus their continuous approximations

2016Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets