Closed form pricing formulas for discretely sampled generalized variance swaps
Wendong Zheng and Yue Kuen Kwok
| Year of publication: |
2014
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|---|---|
| Authors: | Zheng, Wendong ; Kwok, Yue-Kuen |
| 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. 24.2014, 4, p. 855-881
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| Subject: | generalized variance swaps | stochastic volatility models | Fourier transform | discrete sampling | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Stichprobenerhebung | Sampling | Swap | Optionspreistheorie | Option pricing theory | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011308159