A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573)
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scientific article; zbMATH DE number 6094497
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility |
scientific article; zbMATH DE number 6094497 |
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A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (English)
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17 October 2012
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variance swaps
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Heston model
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closed-form exact solution
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explicit formula
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stochastic volatility
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