THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
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Publication:3643591
DOI10.1142/S0219024909005403zbMath1180.91289MaRDI QIDQ3643591
Publication date: 9 November 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G20: Derivative securities (option pricing, hedging, etc.)
60H05: Stochastic integrals
34E05: Asymptotic expansions of solutions to ordinary differential equations
Uses Software
Cites Work
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