A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573)
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scientific article; zbMATH DE number 6094497
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| English | A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility |
scientific article; zbMATH DE number 6094497 |
Statements
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (English)
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17 October 2012
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variance swaps
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Heston model
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closed-form exact solution
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explicit formula
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stochastic volatility
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0.8738113045692444
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0.8617334365844727
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0.8540410995483398
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0.8528169393539429
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0.8477808237075806
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