Prices and asymptotics for discrete variance swaps
Year of publication: |
2014
|
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Authors: | Bernard, Carole ; Cui, Zhenyu |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 1/2, p. 140-173
|
Subject: | Discrete variance swap | Heston model | Hull-White model | Schöbel-Zhu model | Swap | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Erratum enth. in: Vol. 21.2014, 3/4, S. 298 |
Source: | ECONIS - Online Catalogue of the ZBW |
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