A Closed-Form Expansion Approach for Pricing Discretely Monitored Variance Swaps - Online Supplementary Material

This supplementary material for A Closed-form Expansion Approach for Pricing Discretely Monitored Variance Swaps contains (1) more details on the computational results (Section 1), (2) an illustration of expansion formulas (Section 2), and (3) an interpretation of our expansions for the examples (Section 3)

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Year of publication:	2015
Authors:	Li, Chenxu
Other Persons:	Li, Xiaocheng (contributor)
Publisher:	[2015]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 9, 2015 erstellt
Other identifiers:	10.2139/ssrn.2604517 [DOI]
Classification:	G12 - Asset Pricing ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013022975