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"Variance swaps on time-changed Lévy processes."

Peter Carr, Roger Lee, Liuren Wu (2012)

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DOI: 10.1007/S00780-011-0157-9

access: closed

type: Journal Article

metadata version: 2020-07-22

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  - https://dblp.org/rec/journals/fs/CarrLW12
Peter Carr, Roger Lee, Liuren Wu:
Variance swaps on time-changed Lévy processes. Finance Stochastics 16(2): 335-355 (2012)

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