Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Alexandru Badescu, Zhenyu Cui, Juan-Pablo Ortega
| Year of publication: |
2019
|
|---|---|
| Authors: | Andrikopoulos, Alexandru ; Cui, Zhenyu ; Ortega, Juan-Pablo |
| Published in: |
Application of operations research to financial markets. - New York, NY, USA : Springer. - 2019, p. 27-57
|
| Subject: | Variance swaps | Realized variance | Affine GARCH models | Variance dependent pricing kernels | Diffusion limits | ARCH-Modell | ARCH model | Swap | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
Available at ZBW
- Location: Hamburg
- Call Number: A20-1406
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Status: -
Persistent link: https://www.econbiz.de/10012157341