Pages that link to "Item:Q5146449"

The following pages link to The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (Q5146449):

Displaying 9 items.

• Stochastic pricing formulation for hybrid equity warrants (Q2129745) (← links)
• A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
• Variance swaps under multiscale stochastic volatility of volatility (Q2671216) (← links)
• PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE (Q5051186) (← links)
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
• COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES (Q5411990) (← links)
• The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives (Q5879356) (← links)
• VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (Q5890133) (← links)
• An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility (Q6543168) (← links)