A closed-form expansion approach for pricing discretely monitored variance swaps (Q1785402)
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scientific article; zbMATH DE number 6945388
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| English | A closed-form expansion approach for pricing discretely monitored variance swaps |
scientific article; zbMATH DE number 6945388 |
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A closed-form expansion approach for pricing discretely monitored variance swaps (English)
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28 September 2018
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variance swaps
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discretely monitored
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jump-diffusion models
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stochastic volatility
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closed-form expansion
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