Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes (Q2800053)
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scientific article; zbMATH DE number 6568918
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes |
scientific article; zbMATH DE number 6568918 |
Statements
14 April 2016
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time-changed Lévy processes
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variance options
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volatility swaps
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discrete sampling
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Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes (English)
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