A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (Q3084598): Difference between revisions

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Latest revision as of 22:24, 3 July 2024

scientific article
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A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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    A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (English)
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    25 March 2011
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    variance swaps
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    Heston model
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    closed-form exact solution
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    explicit formula
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    stochastic volatility
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