Closed form pricing formulas for discretely sampled generalized variance swaps (Q2927954)
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scientific article; zbMATH DE number 6365995
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed form pricing formulas for discretely sampled generalized variance swaps |
scientific article; zbMATH DE number 6365995 |
Statements
5 November 2014
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generalized variance swaps
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stochastic volatility models
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Fourier transform
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discrete sampling
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Closed form pricing formulas for discretely sampled generalized variance swaps (English)
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