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Closed-form variance swap prices under general affine GARCH models and their continuous-time limits.

Alexandru BadescuZhenyu CuiJuan-Pablo Ortega
Published in: Ann. Oper. Res. (2019)
Keyphrases
  • closed form
  • closed form solutions
  • special case
  • point correspondences
  • garch model
  • hyperparameters
  • image quality
  • information theoretic
  • gray level