A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model (Q2929384)
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scientific article; zbMATH DE number 6368749
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| English | A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model |
scientific article; zbMATH DE number 6368749 |
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12 November 2014
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variance swaps
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Heston model
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closed-form exact solution
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stochastic volatility
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A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model (English)
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0.8787328004837036
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0.8738113045692444
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0.860183596611023
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0.860065221786499
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0.8574064373970032
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