Bernard, Carole; Cui, Zhenyu - In: Applied Mathematical Finance 21 (2014) 2, pp. 140-173
We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull--White and Schöbel--Zhu stochastic volatility models, we give simple explicit expressions (improving Broadie and Jain (2008a). The effect of...
