A closed-form expansion approach for pricing discretely monitored variance swaps (Q1785402)
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scientific article; zbMATH DE number 6945388
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A closed-form expansion approach for pricing discretely monitored variance swaps |
scientific article; zbMATH DE number 6945388 |
Statements
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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0.8272019028663635
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0.8239712119102478
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0.8200455904006958
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0.8192981481552124
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0.8054629564285278
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