Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922)
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scientific article; zbMATH DE number 7153549
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| English | Closed-form variance swap prices under general affine GARCH models and their continuous-time limits |
scientific article; zbMATH DE number 7153549 |
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Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (English)
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20 January 2020
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variance swaps
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realized variance
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affine GARCH models
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variance dependent pricing kernels
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diffusion limits
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0.8920451402664185
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0.8353937268257141
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0.8215366005897522
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0.8162757158279419
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0.8133251667022705
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