Authors: Zhang, Liwei
Superior Title: ANZIAM Journal; Vol. 55 (2013); 362-382 ; 1445-8810
Subject Terms: variance swaps, mean-reverting Gaussian volatility model, closed-form solution, discrete sampling, 91G20
Relation: https://journal.austms.org.au/ojs/index.php/ANZIAMJ/article/view/7396
Availability: https://journal.austms.org.au/ojs/index.php/ANZIAMJ/article/view/7396