Prices and Asymptotics for Discrete Variance Swaps

DOI10.1080/1350486X.2013.820524zbMath1396.91718arXiv1305.7092OpenAlexW3125220130MaRDI QIDQ4585896

Carole Bernard, Zhen-Yu Cui

Publication date: 11 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.7092

zbMATH Keywords

Heston modelHull-White modeldiscrete variance swapSchöbel-Zhu model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (24)

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Cites Work

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