Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process (Q256762)
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scientific article; zbMATH DE number 6553053
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| English | Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 6553053 |
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Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process (English)
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10 March 2016
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closed-form solution
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Ornstein-Uhlenbeck process
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stochastic volatility
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variance swaps
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0.9001184105873108
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0.8373315930366516
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0.8335537910461426
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0.8181254863739014
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