Convex order of discrete, continuous and predictable quadratic variation & applications to options on variance
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References listed on IDEAS
- Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2003.
"Stochastic Volatility for Lévy Processes,"
Mathematical Finance, Wiley Blackwell, vol. 13(3), pages 345-382, July.
- Helyette Geman & P. Carr & D. Madan & Marc Yor, 2003. "Stochastic Volatility for Levy Processes," Post-Print halshs-00144385, HAL.
- Mark Broadie & Ashish Jain, 2008. "The Effect Of Jumps And Discrete Sampling On Volatility And Variance Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 761-797.
- repec:dau:papers:123456789/1380 is not listed on IDEAS
- repec:dau:papers:123456789/1392 is not listed on IDEAS
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Cited by:
- Carole Bernard & Zhenyu Cui, 2013. "Prices and Asymptotics for Discrete Variance Swaps," Papers 1305.7092, arXiv.org.
- Carole Bernard & Zhenyu Cui & Don McLeish, 2013. "Convergence of the discrete variance swap in time-homogeneous diffusion models," Papers 1310.0099, arXiv.org.
- Bernard, Carole & Jiang, Xiao & Wang, Ruodu, 2014. "Risk aggregation with dependence uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 93-108.
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