On the valuation of variance swaps with stochastic volatility (Q2250184)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the valuation of variance swaps with stochastic volatility |
scientific article |
Statements
On the valuation of variance swaps with stochastic volatility (English)
0 references
4 July 2014
0 references
variance swaps
0 references
Heston model
0 references
explicit formulae
0 references
stochastic volatility
0 references
0 references
0 references
0 references
0 references
