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Discretely sampled variance and volatility swaps versus their continuous approximations.
Robert Jarrow
Younes Kchia
Martin Larsson
Philip Protter
Published in:
Finance Stochastics (2013)
Keyphrases
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stock market
variance reduction
learning algorithm
closed form
standard deviation
stock trading
genetic algorithm
website
upper bound
covariance matrix
prediction error
stock price
financial markets
sampled data