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Pricing variance, gamma, and corridor swaps using multinomial trees

Honglei Zhao, Zhe Zhao, Rupak Chatterjee, Thomas Lonon, and Ionuţ Florescu
Year of publication:
2017
Authors: Zhao, Honglei ; Zhao, Zhe ; Chatterjee, Rupak ; Lonon, Thomas ; Florescu, Ionuţ
Published in:
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 25.2017, 2, p. 7-21
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