On pricing variance swaps in discretely-sampled with high volatility model
In this paper, we investigate valuation of discretely-sampled variance swaps in a financial asset price model with increase in volatility. More precisely, we consider a stochastic differential equation model with an additional parameter which augments volatility. This is to cover the impact of finan...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Erdal KARAPINAR
2021-06-01
|
| Series: | Results in Nonlinear Analysis |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/en/download/article-file/1678745 |