Discretely sampled variance and volatility swaps versus their continuous approximations
Robert Jarrow; Younes Kchia; Martin Larsson; Philip Protter
| Year of publication: |
2013
|
|---|---|
| Authors: | Jarrow, Robert A. ; Kchia, Younes ; Larsson, Martin ; Protter, Philip E. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 2, p. 305-324
|
| Subject: | Volatilität | Volatility | Theorie | Theory | Swap |
| 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://www.econbiz.de/10009730815