A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY (Q2925697): Difference between revisions

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Latest revision as of 11:48, 30 July 2024

scientific article
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A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY
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    A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY (English)
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    17 October 2014
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    variance swaps
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    mean-reverting Gaussian volatility model
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    closed-form solution
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    discrete sampling
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