A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY (Q2925697)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY |
scientific article |
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A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY (English)
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17 October 2014
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variance swaps
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mean-reverting Gaussian volatility model
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closed-form solution
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discrete sampling
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