Decision Support on Corridor Variance Swaps

摘要：

　　We develop a new decision support approach to price corridor variance swaps other than the popular numerical Fast Fourier Transform(FFT)approach.We apply Feynman-Kac connection to get analytical result and avoid the arbitrary alpha problem in FFT approach.

关键词： Decision Support Corridor Variance Swap

作者: Tianxiang Liu Desheng Wu

作者单位: School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China

会议类型: 国际会议

会议名称: The 2017 Service SystemEngineering Conference & 2017 Symposium on Analytics and Risk (SSEC&SAR 2017)(中国系统工程学会服务系统工程分会2017年年会暨2017年风险分析学术研讨会)

会议地点: 上海

会议语种:英文

页码: 332-334

在线出版日期: 2017-07-07（万方平台首次上网日期，不代表论文的发表时间）