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"On the Convexity Correction Approximation in Pricing Volatility Swaps and ..."

Song-Ping Zhu, Guang-Hua Lian (2018)

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DOI: 10.1142/S1793005718500230

access: closed

type: Journal Article

metadata version: 2019-12-27

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  - https://dblp.org/rec/journals/nmnc/ZhuL18
Song-Ping Zhu, Guang-Hua Lian:
On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures. New Math. Nat. Comput. 14(3): 383-401 (2018)

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