Work

A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model

Year: 2021

Type: article

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2021.101532

Authors: Shaoyu Li, Yuanyuan Zhang, Chunhui Zhu

Institutions: South China Normal University, Southwestern University of Finance and Economics

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: National Natural Science Foundation of China

OpenAlex ID: W3195963629

FWCI:

Cites: 36

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Related to: 10