A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792)
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scientific article; zbMATH DE number 7101779
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| English | A closed-form pricing formula for variance swaps under MRG-Vasicek model |
scientific article; zbMATH DE number 7101779 |
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A closed-form pricing formula for variance swaps under MRG-Vasicek model (English)
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5 September 2019
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variance swaps
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mean-reverting Gaussian volatility model
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Vasicek interest rate model
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realized variance
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Fourier transform
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0.9002208709716797
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0.8901471495628357
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0.8453061580657959
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0.8329551219940186
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0.8255884051322937
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