Pricing options on realized variance
暂无分享,去创建一个
Marc Yor | Hélyette Geman | Dilip B. Madan | Peter Carr | M. Yor | P. Carr | D. Madan | H. Geman
[1] Ken-iti Sato. Class L of multivariate distributions and its subclasses , 1980 .
[2] M. Yor,et al. Stochastic Volatility for Lévy Processes , 2003 .
[3] I. Monroe. Processes that can be Embedded in Brownian Motion , 1978 .
[4] K. E. Dambis,et al. On the Decomposition of Continuous Submartingales , 1965 .
[5] D. Dufresne. The integrated square-root process , 2001 .
[6] W. Vervaat,et al. An integral representation for selfdecomposable banach space valued random variables , 1983 .
[7] Dimitris Psychoyios,et al. An empirical comparison of continuous-time models of implied volatility indices , 2007 .
[8] W. Schoutens. The Meixner process : theory and applications in finance , 2002 .
[9] J. Pitman,et al. Self-similar processes with independent increments associated with Lévy and Bessel processes , 2002 .
[10] Marc Yor,et al. Time Changes for Lévy Processes , 2001 .
[11] K. Urbanik. Limit Laws for Sequences of Normed Sums Satisfying Some Stability Conditions , 1973 .
[12] Stanley,et al. Stochastic process with ultraslow convergence to a Gaussian: The truncated Lévy flight. , 1994, Physical review letters.
[13] E. Nicolato,et al. Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type , 2003 .
[14] R. C. Merton,et al. Theory of Rational Option Pricing , 2015, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.
[15] MALLIAVIN CALCULUS IN CONSTRUCTION OF HEDGING PORTFOLIO FOR THE HESTON MODEL OF A FINANCIAL MARKET , 2001 .
[16] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[17] M. Yor,et al. The Fine Structure of Asset Retums : An Empirical Investigation ' , 2006 .
[18] Generators of Some Classes of Probability Measures On Banach Spaces , 1983 .
[19] S. Heston,et al. A Closed-Form GARCH Option Valuation Model , 2000 .
[20] Ken-iti Sato,et al. Self-similar processes with independent increments , 1991 .
[21] P. Levy. Théorie de l'addition des variables aléatoires , 1955 .
[22] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[23] D. Ocone. A Symmetry Characterization of Conditionally Independent Increment Martingales , 1993 .
[24] Koponen,et al. Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process. , 1995, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.
[25] Z. Jurek. Limit distributions and one-parameter groups of linear operators on Banach spaces , 1983 .
[26] Dilip B. Madan,et al. Optimal positioning in derivative securities , 2001 .
[27] N. Shephard,et al. Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics , 2005 .
[28] L. Dubins,et al. ON CONTINUOUS MARTINGALES. , 1965, Proceedings of the National Academy of Sciences of the United States of America.
[29] A. Iksanov,et al. A new factorization property of the selfdecomposable probability measures , 2002, 1009.3545.
[30] Ole E. Barndorff-Nielsen,et al. Processes of normal inverse Gaussian type , 1997, Finance Stochastics.
[31] P. Carr,et al. Option valuation using the fast Fourier transform , 1999 .