A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
type: Item
instance of: scholarly article
title: A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
zbMATH Open document ID: 1403.91334
author: Xianqiang Yang
published in: European Journal of Operational Research
publication date: 2018-05-30T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6876530
zbMATH Keywords: finance
zbMATH Keywords: volatility derivatives
zbMATH Keywords: regime-switching
zbMATH Keywords: jump diffusion
zbMATH Keywords: stochastic volatility
MaRDI profile type: Publication
full work available at URL: j.ejor.2017.04.007
OpenAlex ID: W2605254628
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DOI: 10.1016/J.EJOR.2017.04.007
description: scientific article; zbMATH DE number 6876530