Q5040907 (Q5040907): Difference between revisions

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scientific article; zbMATH DE number 7602869

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7602869

Statements

scholarly article

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Kittisak Chumpong

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Khamron Mekchay

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publication date

18 October 2022

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full work available at URL

http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/4006

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zbMATH Keywords

moment swaps

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discrete sampling

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Black-Scholes model

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time-dependent parameters

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MaRDI profile type

MaRDI publication profile

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THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS

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Pricing and hedging contingent claims using variance and higher order moment swaps

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A closed-form formula for the conditional moments of the extended CIR process

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A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL

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A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility

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A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL

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CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS

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A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

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On the valuation of variance swaps with stochastic volatility

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5040907

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