Pricing generalized variance swaps under the Heston model with stochastic interest rates (Q1997863)
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scientific article; zbMATH DE number 7317949
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing generalized variance swaps under the Heston model with stochastic interest rates |
scientific article; zbMATH DE number 7317949 |
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Pricing generalized variance swaps under the Heston model with stochastic interest rates (English)
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6 March 2021
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generalized variance swap
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Heston-CIR model
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discounted characteristic function
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projection techniques
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Monte-Carlo simulation
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