John Crosby

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

DOWNLOADS

431

SSRN CITATIONS

2

CROSSREF CITATIONS

9

Scholarly Papers (2)

1.

Variance Derivatives: Pricing and Convergence

Number of pages: 54 Posted: 01 May 2012
John Crosby and Mark Davis
affiliation not provided to SSRN and Imperial College London
Downloads 291 (129,095)
Citation 7

Abstract:

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variance swaps, discrete monitoring, log-forward contract, entropy-forward contract, continuous-time limit

2.

Approximating Levy Processes with a View to Option Pricing

Number of pages: 22 Posted: 14 May 2009
affiliation not provided to SSRN, affiliation not provided to SSRN and Imperial College London
Downloads 140 (252,711)
Citation 5

Abstract:

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Levy process, stochastic approximation, barrier and vanilla pricing