Variation and share-weighted variation swaps on time-changed Lévy processes (Q377448): Difference between revisions
From MaRDI portal
Import recommendations run Q6767936 |
Changed label, description and/or aliases in en, and other parts |
||
| description / en | description / en | ||
scientific article | scientific article; zbMATH DE number 6223040 | ||
| Property / author | |||
| Property / author: Mohammad Hasan / rank | |||
| Property / author | |||
| Property / author: H. S. Yoon / rank | |||
| Property / author | |||
| Property / author: Peter Carr / rank | |||
Normal rank | |||
| Property / author | |||
| Property / author: Roger Lee / rank | |||
Normal rank | |||
Latest revision as of 07:32, 4 June 2025
scientific article; zbMATH DE number 6223040
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variation and share-weighted variation swaps on time-changed Lévy processes |
scientific article; zbMATH DE number 6223040 |
Statements
Variation and share-weighted variation swaps on time-changed Lévy processes (English)
0 references
6 November 2013
0 references
Lévy process
0 references
time change
0 references
hedging
0 references
variance swap
0 references
gamma swap
0 references
moment swap
0 references
weighted variation swap
0 references
0 references
0.9590439
0 references
0.8993916
0 references
0.8874783
0 references
0.88457453
0 references
0.88067144
0 references
0 references
0.8744648
0 references
0.87392825
0 references
0.87180036
0 references
