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"A closed-form pricing formula for variance swaps under MRG-Vasicek model."

Yuecai Han, Longxiao Zhao (2019)

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DOI: 10.1007/S40314-019-0905-6

access: closed

type: Journal Article

metadata version: 2022-02-08

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Yuecai Han, Longxiao Zhao:
A closed-form pricing formula for variance swaps under MRG-Vasicek model. Comput. Appl. Math. 38(3) (2019)

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