Arithmetic variance swaps
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Publication:4555097
DOI10.1080/14697688.2016.1212167zbMath1402.91798OpenAlexW2513114165MaRDI QIDQ4555097
Stamatis Leontsinis, Carol Alexander
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://sro.sussex.ac.uk/id/eprint/62303/1/__smbhome.uscs.susx.ac.uk_qlfd7_Desktop_Arithmetic%20Variance%20Swaps_OAversion.pdf
kurtosisskewnessrealized varianceVIXvolatility indexHermite splinemodel freefourth moment swapthird moment swapVFTSE
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Cites Work
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