Math Finance Publications

 Some people claimed that for an unknown reason clicking on a hyperlink does not open a presentation. If this is the case, please click on the hyperlink by a right mouse button and then use "save target as" to save the file at your own computer. This works fine by all means.

Online archives

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Andrey Itkin

Pricing options with VG model using FFT

arXiv.org > physics > physics/0503137

 

 

 

 

 

Extended version prepared for the VG Conference (see Presentations)

 

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A. Itkin, P.Carr

Review of Derivatives Research

 Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case