A closed-form exact solution for pricing variance swaps with stochastic volatility (Q3084598)
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scientific article; zbMATH DE number 5870032
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| English | A closed-form exact solution for pricing variance swaps with stochastic volatility |
scientific article; zbMATH DE number 5870032 |
Statements
A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (English)
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25 March 2011
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variance swaps
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Heston model
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closed-form exact solution
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explicit formula
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stochastic volatility
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0.9275370836257936
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0.860065221786499
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0.8596401214599609
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0.847009539604187
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0.8399801850318909
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