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frolloos


Total Posts: 69
Joined: Dec 2007
 
Posted: 2019-02-08 08:35
In two previous papers spot starting and forward starting volswaps were priced. This third note completes the 'series' and shows how to approximate the price of seasoned volswaps for very general stoch vol models:

https://papers.ssrn.com/abstract=3330431


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