A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

Published 2017 View Full Article

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Title
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Authors
Keywords
Finance, Volatility derivatives, Regime-switching, Jump diffusion, Stochastic volatility
Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 262, Issue 1, Pages 381-400
Publisher
Elsevier BV
Online
2017-04-09
DOI
10.1016/j.ejor.2017.04.007

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