Pricing variance swaps with stochastic volatility
Following the pricing approach proposed by Zhu & Lian (2009), we present an exact solution for pricing variance swaps with the realized variance in the payoff function being a logarithmic return of the underlying asset at some pre-speci¯ed discrete sampling points. Our newly-found pricing formul...
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| Format: | Others |
| Published: |
IAENG/Newswood Limited/International Association of Engineers (IAENG),
2011-11-21T02:55:18Z.
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| Subjects: | |
| Online Access: | Get fulltext |