Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-form variance swap prices under general affine GARCH models and their continuous-time limits |
scientific article |
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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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