Convergence of the discrete variance swap in time-homogeneous diffusion models
Author:
Publisher
Informa UK Limited
Subject
Microbiology (medical),Immunology,Immunology and Allergy
Link
http://www.tandfonline.com/doi/pdf/10.1080/21649502.2014.920513
Reference6 articles.
1. Prices and Asymptotics for Discrete Variance Swaps
2. THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
3. Convex Order of Discrete, Continuous, and Predictable Quadratic Variation and Applications to Options on Variance
4. On Wald's equations in continuous time
5. Discretely sampled variance and volatility swaps versus their continuous approximations
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