Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659)
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| English | Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model |
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Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (English)
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27 November 2014
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\(3/2\) volatility model
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variance swap
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numéraire portfolio
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squared Bessel process
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confluent hypergeometric functions
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0.7887783050537109
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0.7878856658935547
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0.7857664823532104
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0.7848088145256042
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