Pages that link to "Item:Q2925697"
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The following pages link to A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility (Q2925697):
Displaying 8 items.
- A closed-form expansion approach for pricing discretely monitored variance swaps (Q1785402) (← 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)
- A closed-form formula for pricing variance swaps on commodities (Q2360087) (← links)
- Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
- Closed form pricing formulas for discretely sampled generalized variance swaps (Q2927954) (← links)
- AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS (Q5370813) (← links)
- An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility (Q6543168) (← links)
