Wang, Hengxu; O’Hara, John G.; Constantinou, Nick - In: Mathematics and Computers in Simulation (MATCOM) 109 (2015) C, pp. 130-152
In this paper, a closed form path-independent approximation of the fair variance strike for a variance swap under the constant elasticity of variance (CEV) model is obtained by applying the small disturbance asymptotic expansion. The realized variance is sampled continuously in a risk-neutral...
