Closed form pricing formulas for discretely sampled generalized variance swaps
Year of publication: |
2014
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Authors: | Zheng, Wendong ; Kwok, Yue-Kuen |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 4, p. 855-881
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Subject: | generalized variance swaps | stochastic volatility models | Fourier transform | discrete sampling | Volatilität | Volatility | Swap | Stochastischer Prozess | Stochastic process | Stichprobenerhebung | Sampling | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance |
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