AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS (Q5370813)
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scientific article; zbMATH DE number 6794595
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS |
scientific article; zbMATH DE number 6794595 |
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AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS (English)
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20 October 2017
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variance swaps
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Ornstein-Uhlenbeck process
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closed-form solution
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stochastic volatility
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