Variance and volatility swaps valuations with the stochastic liquidity risk

DOI10.1016/j.physa.2020.125679OpenAlexW3111150757MaRDI QIDQ2068493

Jian-hao Kang, De-xuan Xu, Ben-Zhang Yang, Nan-Jing Huang

Publication date: 19 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2020.125679

zbMATH Keywords

characteristic functionlimiting propertiesvariance swapsvolatility swapsstochastic liquidity risk

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives

Cites Work

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