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
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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