A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps
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Publication:3004475
DOI10.1080/13504861003795019zbMath1213.91151OpenAlexW2039572077MaRDI QIDQ3004475
Publication date: 3 June 2011
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504861003795019
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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