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AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS
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- Journal:
- The ANZIAM Journal / Volume 59 / Issue 1 / July 2017
- Published online by Cambridge University Press:
- 19 July 2017, pp. 83-102
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A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL
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- Journal:
- The ANZIAM Journal / Volume 56 / Issue 1 / July 2014
- Published online by Cambridge University Press:
- 09 October 2014, pp. 1-27
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A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY
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- Journal:
- The ANZIAM Journal / Volume 55 / Issue 4 / April 2014
- Published online by Cambridge University Press:
- 10 September 2014, pp. 362-382
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