Pricing of Pseudo-Swaps Based on Pseudo-Statistics
The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities. Thus, sometimes it is simpler to consider pricing of swaps by so-called pseudo-statistics, namely, the pseudo-varian...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2023-08-01
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| Col·lecció: | Risks |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2227-9091/11/8/141 |
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