Options on realized variance and convex orders

DOI10.1080/14697680903397675zbMath1277.91164OpenAlexW3121610548MaRDI QIDQ2866381

Marc Yor, Hélyette Geman, Dilip B. Madan, Peter Carr

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://eprints.bbk.ac.uk/id/eprint/1947/1/1947.pdf

zbMATH Keywords

stochastic processesstochastic volatilityLévy processequity options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Economic time series analysis (91B84) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Stochastic processes with proportional increments and the last-arrival problem

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Time reversal on Lévy processes
• Processes of normal inverse Gaussian type
• Pricing options on realized variance
• Generalized sweeping-out and probability
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Sato processes and the valuation of structured products
• THE RANGE OF TRADED OPTION PRICES
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Stochastic Volatility for Lévy Processes
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Numerical Inversion of Laplace Transforms of Probability Distributions
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• The Existence of Probability Measures with Given Marginals

This page was built for publication: Options on realized variance and convex orders