A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY

Publisher： Cambridge University Press

E-ISSN： 1446-8735|55|4|362-382

ISSN： 1446-1811

Source： ANZIAM Journal, Vol.55, Iss.4, 2014-09, pp. : 362-382

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