"A simplified analytical approach for pricing discretely-sampled variance ..."

Sanae Rujivan, Song-Ping Zhu (2012)

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DOI: 10.1016/J.AML.2012.01.029

access: closed

type: Journal Article

metadata version: 2019-10-19

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Sanae Rujivan, Song-Ping Zhu:
A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility. Appl. Math. Lett. 25(11): 1644-1650 (2012)

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