Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
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Publication:4994351
DOI10.1080/1350486X.2020.1847671zbMath1466.91348arXiv2004.04015MaRDI QIDQ4994351
Maria Elvira Mancino, Giacomo Toscano, Simone Scotti
Publication date: 17 June 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.04015
polynomial modelsvariance swapspot varianceexponential affine modelsexponential mean-reverting variance models
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