Exercises 6.2 Variance swap Compute the variance swap for the Heston and SABR model: VST = 1
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Exercises 6.2 Variance swap Compute the variance swap for the Heston and SABR model:
VST =
1 T
Z T 0
EP[a2s
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Related Book For
Analysis Geometry And Modeling In Finance
ISBN: 9781420086997
1st Edition
Authors: Pierre Henry-Labordere
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