Pricing variance swaps with stochastic volatility under jump-diffusion (Q2876063)
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scientific article; zbMATH DE number 6330764
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing variance swaps with stochastic volatility under jump-diffusion |
scientific article; zbMATH DE number 6330764 |
Statements
15 August 2014
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variance swaps
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stochastic volatility
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jump-diffusion
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double exponential distribution
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continuous dividend rate
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0.96601945
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0.9503151
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0.9474611
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0.9463023
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0.9420547
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0.93819326
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Pricing variance swaps with stochastic volatility under jump-diffusion (English)
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