Optimal entry and exit for variance swaps: closed-form rules for the perpetual contract

By J. Maeda

Published 2026-09-17

Everscope rating

1918.3

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Optimal Stopping via Excessive Functions on CIR Process. Problem types: Optimization, Portfolio Optimization, Risk Management, Algorithmic Execution.

arXiv:2609.19102 · Paper rankings

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