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

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Subfields: Finance

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PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, background): “In related work, [25] and [16] price log-contracts resp.”
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, methodology): “The papers include those of Little and Pant (2001), Windcliff et al. (2006), Broadie and Jain (2008), Itkin and Carr (2010), and Zhu and Lian (2011).”
Prices and Asymptotics for Discrete Variance Swaps (2013, unknown): “Dupire (1993) and Neuberger (1994), who independently proved that the fair strike for a continuously sampled variance swap on any underlying price process with continuous path is simply two units of the forward price of the log contract.”