A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY (Q2925697): Difference between revisions
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Revision as of 15:18, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY |
scientific article |
Statements
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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