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"Closed-form variance swap prices under general affine GARCH models and ..."

Alexandru Badescu, Zhenyu Cui, Juan-Pablo Ortega (2019)

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DOI: 10.1007/S10479-018-2941-9

access: closed

type: Journal Article

metadata version: 2020-08-13

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Alexandru Badescu, Zhenyu Cui, Juan-Pablo Ortega:
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. Ann. Oper. Res. 282(1-2): 27-57 (2019)

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