Prices and Asymptotics for Discrete Variance Swaps

DOI10.1080/1350486X.2013.820524zbMath1396.91718arXiv1305.7092MaRDI QIDQ4585896

Carole Bernard, Zhen-Yu Cui

Publication date: 11 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.7092

zbMATH Keywords

Heston model; Hull-White model; discrete variance swap; Schöbel-Zhu model

Mathematics Subject Classification ID

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

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