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A time-dependent variance model for pricing variance and volatility swaps

Journal Article


Abstract


Publication Date


  • 2011

Citation


  • Goard, J. M. (2011). A time-dependent variance model for pricing variance and volatility swaps. Applied Mathematical Finance, 18 (1), 51-70.

Scopus Eid


  • 2-s2.0-79951719134

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/3551

Number Of Pages


  • 19

Start Page


  • 51

End Page


  • 70

Volume


  • 18

Issue


  • 1

Abstract


Publication Date


  • 2011

Citation


  • Goard, J. M. (2011). A time-dependent variance model for pricing variance and volatility swaps. Applied Mathematical Finance, 18 (1), 51-70.

Scopus Eid


  • 2-s2.0-79951719134

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/3551

Number Of Pages


  • 19

Start Page


  • 51

End Page


  • 70

Volume


  • 18

Issue


  • 1