A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

DOI10.1111/j.1467-9965.2010.00436.xzbMath1214.91115MaRDI QIDQ3084598

Guang-Hua Lian, Song-Ping Zhu

Publication date: 25 March 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10292/1689

zbMATH Keywords

stochastic volatility; explicit formula; variance swaps; Heston model; closed-form exact solution

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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