A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL (English)
- New search for: RUJIVAN, SANAE
- New search for: RUJIVAN, SANAE
- New search for: ZHU, SONG-PING
In:
The ANZIAM journal
;
56
, 1
; 1-27
;
2014
-
ISSN:
- Article (Journal) / Print
-
Title:A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL
-
Contributors:RUJIVAN, SANAE ( author ) / ZHU, SONG-PING
-
Published in:The ANZIAM journal ; 56, 1 ; 1-27
-
Publisher:
- New search for: Soc.
-
Place of publication:Adelaide
-
Publication date:2014
-
ISSN:
-
ZDBID:
-
Type of media:Article (Journal)
-
Type of material:Print
-
Language:English
- New search for: 31.80 / 31.80
- Further information on Basic classification
-
Keywords:
-
Classification:
-
Source:
Table of contents – Volume 56, Issue 1
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
-
A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODELRUJIVAN, SANAE et al. | 2014
- 28
-
ON TURBULENCE MODELLING AND THE TRANSITION FROM LAMINAR TO TURBULENT FLOWFORBES, LAWRENCE K. et al. | 2014
- 48
-
A COMBINED ADAPTIVE CONTROL PARAMETRIZATION AND HOMOTOPY CONTINUATION TECHNIQUE FOR THE NUMERICAL SOLUTION OF BANG–BANG OPTIMAL CONTROL PROBLEMSMEHRPOUYA, M. A. et al. | 2014
- 48
-
A combined adaptive control parameterization and homotopy continuation technique for the numerical solution of bang-bang optimal control problemsMehrpouya, M.A. / Shamsi, M. / Razzaghi, M. et al. | 2014
- 66
-
OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERIONLIANG, XIAOQING et al. | 2014
- 91
-
SOLVING A SPECIAL CLASS OF MULTIPLE OBJECTIVE LINEAR FRACTIONAL PROGRAMMING PROBLEMSTANTAWY, S. F. et al. | 2014
-
ANZ VOLUME 56 ISSUE 1 COVER AND FRONT MATTER| 2014
-
ANZ VOLUME 56 ISSUE 1 COVER AND BACK MATTER| 2014