Pricing options on realized variance

Finance and Stochastics

Volumn 9, Issue 4, 2005, Pages 453-475

  Carr, Peter ^a,b   Geman, Hélyette ^c,d   Madan, Dilip B ^e   Yor, Marc ^f  

^a NEW YORK UNIVERSITY   (United States)

^b Bloomberg LP   (United States)

^c UNIVERSITÉ PARIS DAUPHINE   (France)

^d ESSEC BUSINESS SCHOOL   (France)

^e UNIVERSITY OF MARYLAND   (United States)

^f SORBONNE UNIVERSITÉ   (France)

Author keywords

Options on time changes; Options on variance swaps; Self decomposability and its hierarchy

Indexed keywords

EID: 24144441800     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-005-0155-x     Document Type: Article

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