Valuation of options on discretely sampled variance: A general analytic approximation
Metadata only
Date
2016-12Type
- Journal Article
Publication status
publishedExternal links
Journal / series
Journal of Computational FinanceVolume
Pages / Article No.
Publisher
Incisive MediaSubject
Options; Variance swaps; Stochastic volatilityNotes
Published online 18 May 2016.More
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