VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS

DOI10.1142/S0219024911006656zbMath1229.91318arXiv0905.3326OpenAlexW3125051086MaRDI QIDQ3107936

Aleksandar Mijatović, Harry Lo

Publication date: 28 December 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.3326

zbMATH Keywords

variance swapsvolatility derivativesprocesses with jumpsMarkov chain approximationslaws of realized varianceLévy and local Lévy processes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pricing options on realized variance
• On the generation of semigroups of linear operators
• Spectral methods for volatility derivatives
• A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
• The Variance Gamma Process and Option Pricing
• Spectral properties of trinomial trees
• A fuzzy approach to construction project risk assessment and analysis: Construction project risk management system

This page was built for publication: VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS