A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility |
scientific article; zbMATH DE number 6094497
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
17 October 2012
0 references
variance swaps
0 references
Heston model
0 references
closed-form exact solution
0 references
explicit formula
0 references
stochastic volatility
0 references
0 references
0.8738113045692444
0 references
0.8617334365844727
0 references
0.8528169393539429
0 references
0.8477808237075806
0 references
