Pricing Variance Swaps with Cash Dividends
| Year of publication: |
[2015]
|
|---|---|
| Authors: | Klassen, Timothy |
| Publisher: |
[2015]: [S.l.] : SSRN |
| Description of contents: |
We derive a simple formula for the price of a variance swap when the underlying has cash dividends
|
freely available
| Extent: | 1 Online-Ressource (7 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Notes: | In: Final version in: Wilmott Journal, 1 (4) 173-177 (2009) Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 24, 2008 erstellt |
| Other identifiers: | 10.2139/ssrn.1285399 [DOI] |
| Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C63 - Computational Techniques |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012707487