Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case

DOI10.1007/s11147-009-9048-zzbMath1208.91146OpenAlexW2109921539MaRDI QIDQ5962135

Peter Carr, Andrey Itkin

Publication date: 16 September 2010

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9048-z

zbMATH Keywords

optionsasymptotic methodspricingLévy modelsstochastic time changevariance swapsvolatility swaps

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Processes of normal inverse Gaussian type
• A new approach for option pricing under stochastic volatility
• Pricing options on realized variance
• A Theory of the Term Structure of Interest Rates
• Moment swaps
• Valuation of volatility derivatives as an inverse problem
• Stochastic Volatility for Lévy Processes
• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A general characterization of one factor affine term structure models

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