A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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Publication:3084598
DOI10.1111/j.1467-9965.2010.00436.xzbMath1214.91115MaRDI QIDQ3084598
Publication date: 25 March 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10292/1689
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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