A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (Q3084598): Difference between revisions
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Revision as of 23:11, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY |
scientific article |
Statements
A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (English)
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25 March 2011
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variance swaps
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Heston model
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closed-form exact solution
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explicit formula
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stochastic volatility
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