Analytical formulas for pricing discretely-sampled skewness and kurtosis swaps based on Schwartz’ s one-factor model.
| Autor: | Chumpong, Kittisak1 kittisak.ch@psu.ac.th, Mekchay, Khamron1, Thamrongrat, Nopporn2 |
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| Zdroj: | Songklanakarin Journal of Science & Technology. Mar/Apr2021, Vol. 43 Issue 2, p465-470. 6p. |
| Databáze: | Academic Search Ultimate |
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