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Applied mathematical finance
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International journal of theoretical and applied finance
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Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
Zheng, Wendong
;
Yuen, Chi Hung
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011455019
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2
Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
Yuen, Chi Hung
;
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 421-449
Persistent link: https://www.econbiz.de/10011490606
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