Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
Chi Hung Yuen, Wendong Zheng & Yue Kuen Kwok
| Year of publication: |
Nov.-Dec. 2015
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|---|---|
| Authors: | Yuen, Chi Hung ; Zheng, Wendong ; Kwok, Yue-Kuen |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 5/6, p. 421-449
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| Subject: | Variance swaps | gamma swaps | corridor variance swaps | 3/2-volatility model | Swap | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Varianzanalyse | Analysis of variance | Derivat | Derivative |