Pages that link to "Item:Q2322792"
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The following pages link to A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792):
Displaying 5 items.
- Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← 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 with mean-reverting Gaussian volatility (Q2925697) (← links)
- Calibrating fractional Vasicek model (Q6169355) (← links)
- An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility (Q6543168) (← links)