Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119)
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scientific article; zbMATH DE number 7318109
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic elasticity of vol-of-vol and pricing of variance swaps |
scientific article; zbMATH DE number 7318109 |
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Stochastic elasticity of vol-of-vol and pricing of variance swaps (English)
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6 March 2021
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variance swap
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volatility of volatility
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stochastic elasticity variance
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Heston model
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