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Language: en
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Type: BOOK - Published: 2021 - Publisher:
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Type: BOOK - Published: 2013 - Publisher:
Language: en
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Type: BOOK - Published: 2017 - Publisher:
In this article, we investigate the pricing and convergence of general non-affine non-Gaussian GARCH-based variance swap prices. Explicit solutions for fair str
Language: en
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Type: BOOK - Published: 2013 - Publisher:
Language: en
Pages: 38
Pages: 38
Type: BOOK - Published: 2020 - Publisher:
This paper examines variance swap pricing using a model that integrates three major features of financial assets, namely the mean reversion in asset price, mult