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"Convex Order of Discrete, Continuous, and Predictable Quadratic Variation ..."

Claus Griessler, Martin Keller-Ressel (2014)

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DOI: 10.1137/120893690

access: closed

type: Journal Article

metadata version: 2017-05-17

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Claus Griessler, Martin Keller-Ressel:
Convex Order of Discrete, Continuous, and Predictable Quadratic Variation and Applications to Options on Variance. SIAM J. Financial Math. 5(1): 1-19 (2014)

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