Options on realized variance and convex orders
Work
Year: 2010
Type: article
Abstract: Realized variance option and options on quadratic variation normalized to unit expectation are analysed for the property of monotonicity in maturity for call options at a fixed strike. When this condi... more
Source: Quantitative Finance
Institutions Bloomberg (United States), Birkbeck, University of London, University of Maryland, College Park, Sorbonne Université, Laboratoire de Probabilités et Modèles Aléatoires
Cites: 34
Cited by: 9
Related to: 10
FWCI: 1.09
Citation percentile (by year/subfield): 75.33
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green