Download This PaperA Closed-Form Expansion Approach for Pricing Discretely Monitored Variance Swaps - Online Supplementary Material
13 Pages Posted: 16 May 2015
Date Written: May 9, 2015
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).
Keywords: variance swaps, discretely monitored, jump-diffusion models, stochastic volatility, closed-form expansion
JEL Classification: G12; C51
Suggested Citation: Suggested Citation
Li, Chenxu and Li, Xiaocheng, A Closed-Form Expansion Approach for Pricing Discretely Monitored Variance Swaps - Online Supplementary Material (May 9, 2015). Available at SSRN: https://ssrn.com/abstract=2604517 or http://dx.doi.org/10.2139/ssrn.2604517
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