A closed-form exact solution for pricing variance swaps with stochastic volatility

Song-Ping Zhu and Guang-Hua Lian

Year of publication:	2011
Authors:	Zhu, Song-ping ; Lian, Guang-hua
Published in:	Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 21.2011, 2, p. 233-256
Subject:	Swap \| Optionspreistheorie \| Option pricing theory \| Stichprobenerhebung \| Sampling \| Zeit \| Time \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory

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