Asymptotic and exact pricing of options on variance

DOI10.1007/s00780-012-0178-zzbMath1264.91125arXiv1003.5514OpenAlexW3125787730MaRDI QIDQ1936829

Johannes Muhle-Karbe, Martin Keller-Ressel

Publication date: 7 February 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.5514

zbMATH Keywords

small-time asymptoticsoption pricingquadratic variationrealized varianceFourier-Laplace methods

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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