Variance swaps valuation under non-affine GARCH models and their diffusion limits
Alexandru Badescu, Yuyu Chen, Matthew Couch and Zhenyu Cui
| Year of publication: |
2019
|
|---|---|
| Authors: | Badescu, Alexandru ; Chen, Yuyu ; Couch, Matthew ; Cui, Zhenyu |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 2, p. 227-246
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| Subject: | CBOE VIX | Diffusion limits | Extended Girsanov principle | Non-Gaussian GARCH models | Variance swaps | ARCH-Modell | ARCH model | Theorie | Theory | Volatilität | Volatility | Swap |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1478120 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194650