Variation and share-weighted variation swaps on time-changed Lévy processes
type: Item
instance of: scholarly article
title: Variation and share-weighted variation swaps on time-changed Lévy processes
zbMATH Open document ID: 1275.91129
published in: Finance and Stochastics
publication date: 2013-11-06T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6223040
zbMATH Keywords: Lévy process
zbMATH Keywords: time change
zbMATH Keywords: hedging
zbMATH Keywords: variance swap
zbMATH Keywords: gamma swap
zbMATH Keywords: moment swap
zbMATH Keywords: weighted variation swap
MaRDI profile type: Publication
full work available at URL: s00780-013-0212-9
OpenAlex ID: W2052334904
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cites work: Calcul stochastique et problèmes de martingales
cites work: Asymptotic properties of realized power variations and related functionals of semimartingales
cites work: Exponential families of stochastic processes
cites work: Q4435813
DOI: 10.1007/S00780-013-0212-9
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author: Peter Carr
author: Roger Lee
description: scientific article; zbMATH DE number 6223040