Pages that link to "Item:Q2167364"
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The following pages link to Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance (Q2167364):
Displaying 3 items.
- Closed-form convexity and cross-convexity adjustments for Heston prices (Q5300440) (← links)
- An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility (Q6543168) (← links)
- Robust and accurate reconstruction of the time-dependent continuous volatility from option prices (Q6576417) (← links)
