CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (Q2927954): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case / rank | |||
Normal rank | |||
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 |
Statements
CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (English)
0 references
5 November 2014
0 references
generalized variance swaps
0 references
stochastic volatility models
0 references
Fourier transform
0 references
discrete sampling
0 references
