Peter Carr, Roger Lee, Matthew Lorig. Pricing Variance Swaps on Time-Changed Markov Processes. SIAM J. Financial Math., 12(2):672-689, 2021. [doi]
@article{CarrLL21,
title = {Pricing Variance Swaps on Time-Changed Markov Processes},
author = {Peter Carr and Roger Lee and Matthew Lorig},
year = {2021},
doi = {10.1137/20M1344597},
url = {https://doi.org/10.1137/20M1344597},
researchr = {https://researchr.org/publication/CarrLL21},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {12},
number = {2},
pages = {672-689},
}