Pages that link to "Item:Q2000317"
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The following pages link to Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317):
Displaying 8 items.
- A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389) (← links)
- Pricing generalized variance swaps under the Heston model with stochastic interest rates (Q1997863) (← links)
- Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119) (← links)
- A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
- Variance swaps under multiscale stochastic volatility of volatility (Q2671216) (← links)
- Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434) (← links)
- An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility (Q6543168) (← links)
- Pricing of timer volatility-barrier options under Heston's stochastic volatility model (Q6653561) (← links)
