A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility

DOI10.1016/j.aml.2012.01.029zbMath1260.91102MaRDI QIDQ712573

Sanae Rujivan, Song-Ping Zhu

Publication date: 17 October 2012

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2012.01.029

zbMATH Keywords

stochastic volatility; explicit formula; variance swaps; Heston model; closed-form exact solution

Mathematics Subject Classification ID

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Cites Work

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