Convex Order of Discrete, Continuous, and Predictable Quadratic Variation and Applications to Options on Variance

DOI10.1137/120893690zbMath1308.91163arXiv1103.2310OpenAlexW1975387769MaRDI QIDQ2940750

Martin Keller-Ressel, Claus Griessler

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.2310

zbMATH Keywords

quadratic variationvariance swapsconvex orderrealized varianceoptions on variance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inequalities; stochastic orderings (60E15) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

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