Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351)

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scientific article; zbMATH DE number 7360749
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Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
scientific article; zbMATH DE number 7360749

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    Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (English)
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    17 June 2021
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    variance swap
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    spot variance
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    exponential affine models
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    exponential mean-reverting variance models
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    polynomial models
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