34 citations · 39 across the 3 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2011★ 5 cited
Discretely sampled variance and volatility swaps versus their continuous approximations
Robert Jarrow, Younes Kchia, Martin Larsson +1
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computati…
math.PR2009★ 34 cited
No arbitrage without semimartingales
Robert A. Jarrow, Philip Protter, Hasanjan Sayit
We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In parti…