A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL (Q5369443)
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scientific article; zbMATH DE number 6792308
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL |
scientific article; zbMATH DE number 6792308 |
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A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL (English)
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17 October 2017
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gamma swaps
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weighted variance swaps
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Heston model
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stochastic volatility
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