On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures (Q5874583)
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scientific article; zbMATH DE number 7651273
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| English | On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures |
scientific article; zbMATH DE number 7651273 |
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On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures (English)
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8 February 2023
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volatility swaps
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Heston model
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convexity correction approximation
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stochastic volatility
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0.7789175510406494
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0.7776440978050232
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0.7171806693077087
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0.7119795680046082
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0.6987330317497253
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