Valuation of FX Variance Derivatives
The article introduces a faster, more accurate method for pricing variance derivatives using one-dimensional PDE.
Featured in No. 58 on 24 Jul 2024 · 54 days after release
- Released
- 31 May 2024
- First featured
- No. 58 · 24 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 12
- Identifier
- SSRN 4899104
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