Prices and asymptotics for discrete variance swaps
Carole Bernard & Zhenyu Cui
| Year of publication: |
2014
|
|---|---|
| Authors: | Bernard, Carole ; Cui, Zhenyu |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 1/2, p. 140-173
|
| Subject: | Discrete variance swap | Heston model | Hull-White model | Schöbel-Zhu model | Swap | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Varianzanalyse | Analysis of variance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enth. in: Vol. 21.2014, 3/4, S. 298 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010352006