A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps
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DOI: 10.1080/13504861003795019
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- Steven Heston & Saikat Nandi, 2000. "Derivatives on volatility: some simple solutions based on observables," FRB Atlanta Working Paper 2000-20, Federal Reserve Bank of Atlanta.
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- Joanna Goard & Mohammed AbaOud, 2023. "A Bimodal Model for Oil Prices," Mathematics, MDPI, vol. 11(10), pages 1-26, May.
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Keywords
variance swap; volatility swap; stochastic variance;All these keywords.
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