Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
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Publication:4585899
DOI10.1080/1350486X.2013.780770zbMath1396.91773OpenAlexW1984228284WikidataQ60148436 ScholiaQ60148436MaRDI QIDQ4585899
Publication date: 11 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2013.780770
Related Items (7)
PRICING AND HEDGING OF VIX DERIVATIVES IN MODIFIED STOCHASTIC MODELS ⋮ Volatility swaps and volatility options on discretely sampled realized variance ⋮ Stochastic elasticity of vol-of-vol and pricing of variance swaps ⋮ Pricing options on discrete realized variance with partially exact and bounded approximations ⋮ RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES ⋮ Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models ⋮ Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
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