Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claims |
||
Property / author | |||
Property / author: Alexandru M. Badescu / rank | |||
Property / author | |||
Property / author: Zhen-Yu Cui / rank | |||
Revision as of 12:37, 21 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Closed-form variance swap prices under general affine GARCH models and their continuous-time limits |
scientific article |
Statements
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (English)
0 references
20 January 2020
0 references
variance swaps
0 references
realized variance
0 references
affine GARCH models
0 references
variance dependent pricing kernels
0 references
diffusion limits
0 references