A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL (Q2929384): Difference between revisions

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+A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
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+Stochastic differential equations. An introduction with applications.
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+A Theory of the Term Structure of Interest Rates
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+Discretely sampled variance and volatility swaps versus their continuous approximations
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+Asymptotic error distributions for the Euler method for stochastic differential equations
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+The Pricing of Options and Corporate Liabilities
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+On the valuation of variance swaps with stochastic volatility
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+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
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+https://doi.org/10.1017/s1446181114000236
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+W2153306091
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