scholarly journals Variance Swap Pricing under Hybrid Jump Model

2020 ◽  
Vol 10 (3) ◽  
pp. 594-619
Author(s):  
S. Liu
Keyword(s):  
Variance Swap ◽  
Jump Model

An Analytic Formula for the Delta of Variance Swap

2008 ◽  
Author(s):  
Benoit Coulombe ◽  
Alexander Marini ◽  
Ararat Yesayan
Keyword(s):  
Analytic Formula ◽  
Variance Swap

Is the Variance Swap Rate Affine in the Spot Variance? Evidence From S&P500 Data

2020 ◽  
Author(s):  
Maria Elvira Mancino ◽  
Simone Scotti ◽  
Giacomo Toscano
Keyword(s):  
Variance Swap

Domain growth in the interacting adsorbate: Nonsymmetric particle jump model

2007 ◽  
Vol 75 (11) ◽  
Author(s):  
Magdalena A. Załuska-Kotur ◽  
Stanislaw Krukowski ◽  
Andrzej Łusakowski ◽  
Łukasz A. Turski
Keyword(s):  
Domain Growth ◽  
Jump Model

Variance swap dynamics

2013 ◽  
Vol 13 (5) ◽  
pp. 675-685 ◽  
Author(s):  
K. Detlefsen ◽  
W. K. Härdle
Keyword(s):  
Variance Swap

scholarly journals Variance swap volatility dispersion

2006 ◽  
Vol 11 (4) ◽  
pp. 334-344 ◽  
Author(s):  
Izzy Nelken
Keyword(s):  
Variance Swap
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