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Article Dans Une Revue Applied Mathematical Finance Année : 2020

Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data

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hal-03945978 , version 1 (18-01-2023)

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M.E. Mancino, S. Scotti, G. Toscano. Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data. Applied Mathematical Finance, 2020, 27 (4), pp.288-316. ⟨10.1080/1350486X.2020.1847671⟩. ⟨hal-03945978⟩
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