A closed-form formula for pricing variance swaps on commodities (Q2360087): Difference between revisions
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Latest revision as of 04:57, 18 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form formula for pricing variance swaps on commodities |
scientific article |
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A closed-form formula for pricing variance swaps on commodities (English)
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23 June 2017
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variance swaps
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discrete sampling
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Schwartz's model
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commodity prices
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