A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573): Difference between revisions

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+https://doi.org/10.1016/j.aml.2012.01.029
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+W2049523784
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+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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+Pricing variance swaps for stochastic volatilities with delay and jumps
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+Moment swaps
@@ Property / cites work: Moment swaps / rank @@
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+Publication:712573