CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (Q2927954): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1111/mafi.12016 / rank | |||
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| Property / OpenAlex ID: W2330403207 / rank | |||
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| Property / cites work: THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS / rank | |||
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| Property / cites work: A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES / rank | |||
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| Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank | |||
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| Property / cites work: Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case / rank | |||
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Latest revision as of 06:49, 9 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS |
scientific article |
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CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (English)
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5 November 2014
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generalized variance swaps
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stochastic volatility models
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Fourier transform
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discrete sampling
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