Pricing Variance Swaps on Time-Changed Markov Processes

DOI10.1137/20M1344597zbMath1467.91180arXiv1705.01069MaRDI QIDQ4999901

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Publication date: 5 July 2021

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

Full work available at URL: https://arxiv.org/abs/1705.01069

zbMATH Keywords

Markov processtime changevariance swapintegro-differential

Mathematics Subject Classification ID

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

Cites Work

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• The Smile of Certain Lévy-Type Models
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• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Time Change Representation of Stochastic Integrals
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case

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