Convex Order of Discrete, Continuous, and Predictable Quadratic Variation and Applications to Options on Variance

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. [doi]

Abstract

Abstract is missing.