Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/article/10.1007/s10614-017-9753-x/fulltext.html
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3. Bakshi, G., Kapadia, N., & Madan, D. (2003). Stock return characteristics, skew laws, and the differential pricing of individual equity options. Review of Financial Studies, 16, 101–43.
4. Ballestra, L. V., & Cecere, L. (2013). A numerical method to compute the volatility of the fractional brownian motion implied by american options. International Journal of Applied Mathematics, 26, 203–20.
5. Ballestra, L. V., & Cecere, L. (2016). A fast numerical method to price american options under the bates model. Computers & Mathematics with Applications, 72, 1305–19.
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1. Variance Swaps with Deterministic and Stochastic Correlations;Computational Economics;2020-06-29
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