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Discrete variance swap in a rough volatility economy
Journal of Futures Markets
◽
10.1002/fut.22242
◽
2021
◽
Author(s):
Yiru Xi
◽
Hoi Ying Wong
Keyword(s):
Variance Swap
◽
Rough Volatility
Download Full-text
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◽
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◽
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Variance swap dynamics
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◽
10.1080/14697688.2012.749420
◽
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◽
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Variance swap volatility dispersion
Derivatives Use Trading & Regulation
◽
10.1057/palgrave.dutr.1840030
◽
2006
◽
Vol 11
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◽
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◽
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A fast algorithm for simulation of rough volatility models
Quantitative Finance
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10.1080/14697688.2021.1970213
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pp. 1-16
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◽
Haofei Wu
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◽
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◽
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Variance Swap Replication: Discrete or Continuous?
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10.2139/ssrn.2567398
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Fabien Le Floc'h
Keyword(s):
Variance Swap
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Variance Swap for Local Lévy-Based Stochastic Volatility with Delay
Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities
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10.1142/9789814440134_0010
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2013
◽
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Pricing Under Rough Volatility
SSRN Electronic Journal
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VIX as a Variance Swap
SSRN Electronic Journal
◽
10.2139/ssrn.2030292
◽
2012
◽
Cited By ~ 1
Author(s):
Richard V. Diamond
Keyword(s):
Variance Swap
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