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 | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Swap | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-2941-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012157341