A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 02:02, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility |
scientific article |
Statements
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (English)
0 references
17 October 2012
0 references
variance swaps
0 references
Heston model
0 references
closed-form exact solution
0 references
explicit formula
0 references
stochastic volatility
0 references