Discretely sampled variance and volatility swaps versus their continuous approximations
Year of publication: |
2013
|
---|---|
Authors: | Jarrow, Robert A. ; Kchia, Younes ; Larsson, Martin ; Protter, Philip E. |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 2, p. 305-324
|
Subject: | Volatilität | Volatility | Stichprobenerhebung | Sampling | Swap | Optionspreistheorie | Option pricing theory |
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