"A closed-form expansion approach for pricing discretely monitored variance ..."

Chenxu Li, Xiaocheng Li (2015)

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DOI: 10.1016/J.ORL.2015.06.003

access: closed

type: Journal Article

metadata version: 2017-05-27

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Chenxu Li, Xiaocheng Li:
A closed-form expansion approach for pricing discretely monitored variance swaps. Oper. Res. Lett. 43(4): 450-455 (2015)

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