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Latest revision as of 17:48, 16 July 2024

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A closed-form expansion approach for pricing discretely monitored variance swaps
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    A closed-form expansion approach for pricing discretely monitored variance swaps (English)
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    28 September 2018
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    variance swaps
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    discretely monitored
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    jump-diffusion models
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    stochastic volatility
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    closed-form expansion
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