Variance swaps valuation under non-affine GARCH models and their diffusion limits (Q5234288)
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scientific article; zbMATH DE number 7110413
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variance swaps valuation under non-affine GARCH models and their diffusion limits |
scientific article; zbMATH DE number 7110413 |
Statements
Variance swaps valuation under non-affine GARCH models and their diffusion limits (English)
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26 September 2019
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variance swaps
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non-Gaussian GARCH models
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extended Girsanov principle
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diffusion limits
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CBOE VIX
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