A closed-form formula for pricing variance swaps on commodities (Q2360087)

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A closed-form formula for pricing variance swaps on commodities
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    title
    A closed-form formula for pricing variance swaps on commodities (English)
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    author
    Sanae Rujivan
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    publication date
    23 June 2017
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    65C05
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    zbMATH DE Number
    6735332
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    zbMATH Keywords
    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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