"Pricing forward-start variance swaps with stochastic volatility."

Song-Ping Zhu, Guang-Hua Lian (2015)

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DOI: 10.1016/J.AMC.2014.10.050

access: closed

type: Journal Article

metadata version: 2020-02-21

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Song-Ping Zhu, Guang-Hua Lian:
Pricing forward-start variance swaps with stochastic volatility. Appl. Math. Comput. 250: 920-933 (2015)

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