Pricing variance swaps on time-changed Markov processes (Q4999901)
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scientific article; zbMATH DE number 7367709
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing variance swaps on time-changed Markov processes |
scientific article; zbMATH DE number 7367709 |
Statements
Pricing Variance Swaps on Time-Changed Markov Processes (English)
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5 July 2021
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variance swap
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time change
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Markov process
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integro-differential
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0.8397712111473083
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0.8360585570335388
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0.828557550907135
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0.8254094123840332
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0.8087877631187439
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