CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (Q2927954): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS |
scientific article |
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CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (English)
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5 November 2014
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generalized variance swaps
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stochastic volatility models
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Fourier transform
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discrete sampling
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