On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures (Q5874583)
From MaRDI portal
scientific article; zbMATH DE number 7651273
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures |
scientific article; zbMATH DE number 7651273 |
Statements
On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures (English)
0 references
8 February 2023
0 references
volatility swaps
0 references
Heston model
0 references
convexity correction approximation
0 references
stochastic volatility
0 references
0 references
0 references
0 references
0 references
