Volatility swaps and volatility options on discretely sampled realized variance

descriptionPublicationkeyboard_double_arrow_right Article 01 Oct 2014 English Publisher:Elsevier BVJournal:Journal of Economic Dynamics and Control, volume 47, pages 239-262 (issn: 0165-1889,

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Authors: Lian, Guanghua; Chiarella, Carl; Kalev, Petko S.;

doi: 10.1016/j.jedc.2014.08.014

handle: 1959.8/160083

Volatility swaps and volatility options on discretely sampled realized variance

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Abstract

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Related Organizations

University of Technology
Russian Federation
University of South Australia
Australia
University of Technology Sydney
Australia

Keywords

Fourier-cosine series, Derivative securities (option pricing, hedging, etc.), realized variance, variance options, volatility swaps, stochastic volatility, variance swaps, Statistical methods; risk measures

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