A closed-form formula for pricing variance swaps on commodities (Q2360087): Difference between revisions

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-.1007/s10013-016-0224-9
@@ Property / DOI: 10.1007/s10013-016-0224-9 / rank @@
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+https://doi.org/10.1007/s10013-016-0224-9
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+W2524495432
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@@ Property / cites work @@
+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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+Q2771113
@@ Property / cites work: Q2771113 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing volatility derivatives under the modified constant elasticity of variance model
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+An efficient control variate method for pricing variance derivatives
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+A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
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+Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
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+CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
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@@ Property / DOI @@
+.1007/S10013-016-0224-9
@@ Property / DOI: 10.1007/S10013-016-0224-9 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2360087