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Arithmetic variance swaps - MaRDI portal

Arithmetic variance swaps (Q4555097)

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scientific article; zbMATH DE number 6981212
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English
Arithmetic variance swaps
scientific article; zbMATH DE number 6981212

    Statements

    title
    Arithmetic variance swaps (English)
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    author
    Stamatis Leontsinis
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    Carol Alexander
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    publication date
    19 November 2018
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    zbMATH Keywords
    fourth moment swap
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    Hermite spline
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    kurtosis
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    model free
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    realized variance
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    skewness
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    third moment swap
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    volatility index
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    VIX
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    VFTSE
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    Identifiers

    zbMATH DE Number
    6981212
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    OpenAlex ID
    W2513114165
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