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image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Wilmott Journalarrow_drop_down
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
Wilmott Journal
Article . 2009 . Peer-reviewed
License: Wiley Online Library User Agreement
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SSRN Electronic Journal
Article . 2008 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.2139/ssr...
Other literature type
Data sources: Microsoft Academic Graph
https://dx.doi.org/10.1002/wil...
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Pricing Variance Swaps with Cash Dividends

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2008 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Timothy Klassen;

doi: 10.2139/ssrn.1285399 , 10.1002/wilj.17

Pricing Variance Swaps with Cash Dividends

Abstract

AbstractWe derive a simple formula for the price of a variance swap when the underlying has cash dividends. The formula allows arbitrary rates, yield‐like dividends (discrete or continuous), and volatility skews, and is exact to first order in the effective cash dividend yield. Copyright © 2009 Wilmott Magazine Ltd

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
5
Average
Average
Average
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