2 citations · 2 across the 1 of their papers we have counts for
2 papers
q-fin.PR2012
Variance Swaps on Defaultable Assets and Market Implied Time-Changes
Matthew Lorig, Oriol Lozano Carbasse, Rafael Mendoza-Arriaga
We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a Lévy subordinator. In this framework, the underlying may exhibit jumps…
q-fin.PR2012★ 2 cited
Exponential Lévy-type models with stochastic volatility and stochastic jump-intensity
Matthew Lorig, Oriol Lozano-Carbassé
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential Lévy-type model. In our framework, both the volatility and j…