A closed-form pricing formula for variance swaps under MRG–Vasicek model
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s40314-019-0905-6.pdf
Reference33 articles.
1. Bernard C, Cui Z (2014) Prices and asymptotics for discrete variance swaps. Appl Math Finance 21(2):140–173
2. Brigo D, Mercurio F (2007) Interest rate models-theory and practice: with smile, inflation and credit. Springer Science & Business Media, Berlin
3. Broadie M, Jain A (2008a) The effect of jumps and discrete sampling on volatility and variance swaps. Int J Theor Appl Finance 11(08):761–797
4. Broadie M, Jain A (2008b) Pricing and hedging volatility derivatives. J Deriv 15(3):7–24
5. Cao J, Lian G, Roslan TRN (2016) Pricing variance swaps under stochastic volatility and stochastic interest rate. Appl Math Comput 277:72–81
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