Pages that link to "Item:Q2360087"
From MaRDI portal
The following pages link to A closed-form formula for pricing variance swaps on commodities (Q2360087):
Displaying 6 items.
- Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← links)
- Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields (Q2056999) (← links)
- Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes (Q2060664) (← links)
- A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
- A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility (Q2925697) (← links)
- AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (Q5158753) (← links)