A closed-form expansion approach for pricing discretely monitored variance swaps

Chenxu Li; Xiaocheng Li

Year of publication:	2015
Authors:	Li, Chenxu ; Li, Xiaocheng
Published in:	Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 43.2015, 4, p. 450-455
Subject:	Variance swaps \| Discretely monitored \| Jump-diffusion models \| Stochastic volatility \| Closed-form expansion \| Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility \| Swap \| Stochastischer Prozess \| Stochastic process \| Optionsgeschäft \| Option trading

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