Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 6374497
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model |
scientific article; zbMATH DE number 6374497 |
Statements
Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (English)
0 references
27 November 2014
0 references
\(3/2\) volatility model
0 references
variance swap
0 references
numéraire portfolio
0 references
squared Bessel process
0 references
confluent hypergeometric functions
0 references
0 references
0 references
0 references
0 references
0.7887783050537109
0 references
0.7878856658935547
0 references
0.7857664823532104
0 references
0.7848088145256042
0 references
