A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL (Q2929384): Difference between revisions
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Revision as of 23:01, 12 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL |
scientific article |
Statements
A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL (English)
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12 November 2014
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variance swaps
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Heston model
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closed-form exact solution
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stochastic volatility
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