A closed-form formula for pricing variance swaps on commodities (Q2360087)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A closed-form formula for pricing variance swaps on commodities |
scientific article; zbMATH DE number 6735332
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A closed-form formula for pricing variance swaps on commodities |
scientific article; zbMATH DE number 6735332 |
Statements
A closed-form formula for pricing variance swaps on commodities (English)
0 references
23 June 2017
0 references
variance swaps
0 references
discrete sampling
0 references
Schwartz's model
0 references
commodity prices
0 references
0 references
0 references
0 references
0.9341039657592772
0 references
0.881648063659668
0 references
0.8557961583137512
0 references
0.8531972169876099
0 references
0.8401947021484375
0 references
