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On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures.
Song-Ping Zhu
Guang-Hua Lian
Published in:
New Math. Nat. Comput. (2018)
Keyphrases
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financial markets
stock price
stock market
approximation algorithms
early warning
approximation methods
approximation error
risk management
neural network
stock returns
error tolerance
financial time series
mechanism design
exchange rate
error bounds
long term
convex hull
special case
data sets
chinese stock market