CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (Q2927954): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1111/mafi.12016 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2330403207 / rank | |||
Normal rank |
Revision as of 23:54, 19 March 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