Pricing options on realized variance

• 1 October 2005
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 9  (4) , 453-475
• https://doi.org/10.1007/s00780-005-0155-x

Abstract

Keywords

• OPTIONS ON VARIANCE SWAPS
• OPTIONS ON TIME CHANGES
• SELF DECOMPOSABILITY AND ITS HIERARCHY