Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Analytic solutions for variance swaps with double-mean-reverting volatility |
scientific article; zbMATH DE number 7074736
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytic solutions for variance swaps with double-mean-reverting volatility |
scientific article; zbMATH DE number 7074736 |
Statements
Analytic solutions for variance swaps with double-mean-reverting volatility (English)
0 references
28 June 2019
0 references
variance swap
0 references
Gatheral model
0 references
Heston model
0 references
double mean reversion
0 references
characteristic function
0 references
0 references
0 references
0 references
