JORDAN, RICHARD; TIER, CHARLES - In: International Journal of Theoretical and Applied … 12 (2009) 05, pp. 709-743
The problem of pricing the variance swap when the underlying asset follows the CEV process is considered. A hedging … argument is used to replicate the variance swap in part using the log contract. The price of the log contract is shown in … practice to provide a fast and accurate pricing method for the variance swap. An exact integral solution to the log contract …