Pages that link to "Item:Q1945043"
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The following pages link to Discretely sampled variance and volatility swaps versus their continuous approximations (Q1945043):
Displaying 18 items.
- Model-independent hedging strategies for variance swaps (Q693029) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- A closed-form expansion approach for pricing discretely monitored variance swaps (Q1785402) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
- A general property for time aggregation (Q2030709) (← links)
- Pricing variance swaps under hybrid CEV and stochastic volatility (Q2222171) (← links)
- The term structure of equity and variance risk premia (Q2224879) (← links)
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922) (← links)
- A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
- Catastrophe equity put options with target variance (Q2374098) (← links)
- A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model (Q2929384) (← links)
- Arithmetic variance swaps (Q4555097) (← links)
- Prices and Asymptotics for Discrete Variance Swaps (Q4585896) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- Variance swaps valuation under non-affine GARCH models and their diffusion limits (Q5234288) (← links)
- A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL (Q5369443) (← links)
- Variance swaps with mean reversion and multi-factor variance (Q6554616) (← links)
