Variance swaps valuation under non-affine GARCH models and their diffusion limits
From MaRDI portal
Publication:5234288
DOI10.1080/14697688.2018.1478120zbMath1420.91443MaRDI QIDQ5234288
Yuyu Chen, Matthew Couch, Alexandru M. Badescu, Zhen-Yu Cui
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2018.1478120
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G20: Derivative securities (option pricing, hedging, etc.)
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