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The Discrete Mohr and Noll Inequality with Applications to Variance Bounds

In this paper, we provide Poincaré-type upper and lower variance bounds for a function g(X) of a discrete integer-valued random variable (r.v.) X, in terms of the (forward) differences of g up to some ...
Risk

An efficient Monte Carlo method for discrete variance contracts

We develop an efficient Monte Carlo method for the valuation of financial contracts on discretely realized variance.We work with a general stochastic volatility model that makes realized variance ...
Risk

Pricing options on realized variance in the Heston model with jumps in returns and volatility Part II. An approximate distribution of discrete variance

We analyze the effect of discrete sampling on the valuation of options on the realized variance in the Heston stochastic volatility model. It has been known for some time that, although quadratic ...
Simon Fraser University

Discrete Probability Distributions

Continuous Variable: can take on any value between two specified values. Obtained by measuring. Covariance: a measure of the direction of the linear relationship between two variables. Discrete ...