Chenxu Li, Xiaocheng Li. A closed-form expansion approach for pricing discretely monitored variance swaps. Oper. Res. Lett., 43(4):450-455, 2015. [doi]
@article{LiL15-58,
title = {A closed-form expansion approach for pricing discretely monitored variance swaps},
author = {Chenxu Li and Xiaocheng Li},
year = {2015},
doi = {10.1016/j.orl.2015.06.003},
url = {http://dx.doi.org/10.1016/j.orl.2015.06.003},
researchr = {https://researchr.org/publication/LiL15-58},
cites = {0},
citedby = {0},
journal = {Oper. Res. Lett.},
volume = {43},
number = {4},
pages = {450-455},
}