Prices and asymptotics for discrete variance swaps (Q4585896)
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scientific article; zbMATH DE number 6934618
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| English | Prices and asymptotics for discrete variance swaps |
scientific article; zbMATH DE number 6934618 |
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Prices and Asymptotics for Discrete Variance Swaps (English)
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11 September 2018
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discrete variance swap
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Heston model
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Hull-White model
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Schöbel-Zhu model
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0.8407214879989624
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0.8382559418678284
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0.8336473107337952
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0.8256904482841492
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0.8242655396461487
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