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Search: subject:"Variance/volatility swaps"
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He, Xin-Jiang
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Lin, Sha
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of futures markets
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Closed-form formulae for variance and volatility swaps under stochastic volatility with stochastic liquidity risks
Lin, Sha
;
He, Xin-Jiang
- In:
The journal of futures markets
44
(
2024
)
8
,
pp. 1447-1461
Persistent link: https://www.econbiz.de/10015110668
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Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks
He, Xin-Jiang
;
Lin, Sha
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014483995
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