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

✍ Scribed by Sanae Rujivan; Song-Ping Zhu

• Book ID: 116217552
• Publisher: Elsevier Science
• Year: 2012
• Tongue: English
• Weight: 229 KB
• Volume: 25
• Category: Article
• ISSN: 0893-9659
• DOI: 10.1016/j.aml.2012.01.029