A closed-form formula for pricing variance swaps on commodities (Q2360087)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form formula for pricing variance swaps on commodities |
scientific article |
Statements
A closed-form formula for pricing variance swaps on commodities (English)
0 references
23 June 2017
0 references
variance swaps
0 references
discrete sampling
0 references
Schwartz's model
0 references
commodity prices
0 references
