A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form pricing formula for variance swaps under MRG-Vasicek model |
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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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