离散监测方差互换定价的封闭形式展开方法-在线补充资料

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic) Pub Date : 2015-05-09 DOI:10.2139/ssrn.2604517

Chenxu Li, Xiaocheng Li

{"title":"离散监测方差互换定价的封闭形式展开方法-在线补充资料","authors":"Chenxu Li, Xiaocheng Li","doi":"10.2139/ssrn.2604517","DOIUrl":null,"url":null,"abstract":"This supplementary material for A Closed-form Expansion Approach for Pricing Discretely Monitored Variance Swaps contains (1) more details on the computational results (Section 1), (2) an illustration of expansion formulas (Section 2), and (3) an interpretation of our expansions for the examples (Section 3).","PeriodicalId":130177,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","volume":"79 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A Closed-Form Expansion Approach for Pricing Discretely Monitored Variance Swaps - Online Supplementary Material\",\"authors\":\"Chenxu Li, Xiaocheng Li\",\"doi\":\"10.2139/ssrn.2604517\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This supplementary material for A Closed-form Expansion Approach for Pricing Discretely Monitored Variance Swaps contains (1) more details on the computational results (Section 1), (2) an illustration of expansion formulas (Section 2), and (3) an interpretation of our expansions for the examples (Section 3).\",\"PeriodicalId\":130177,\"journal\":{\"name\":\"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)\",\"volume\":\"79 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-05-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2604517\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2604517","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 1

摘要

本补充材料包含:(1)计算结果的更多细节(第1节)，(2)展开式公式的说明(第2节)，以及(3)对示例展开式的解释(第3节)。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

A Closed-Form Expansion Approach for Pricing Discretely Monitored Variance Swaps - Online Supplementary Material

This supplementary material for A Closed-form Expansion Approach for Pricing Discretely Monitored Variance Swaps contains (1) more details on the computational results (Section 1), (2) an illustration of expansion formulas (Section 2), and (3) an interpretation of our expansions for the examples (Section 3).

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

ERN: Other Econometric Modeling: Capital Markets - Asset Pricing (Topic)

自引率

0.00%

发文量