A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility.

Sanae Rujivan Song-Ping Zhu

Published in: Appl. Math. Lett. (2012)

Keyphrases

financial markets
financial crisis
convertible bonds
stock price
monte carlo
stochastic optimization
option pricing
pricing model
stochastic process
garch model
low variance
variance reduction
data sets
stochastic model
stock market
covariance matrix
non stationary