Variance Swap Pricing under Hybrid Jump Model (Q4986618)
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scientific article; zbMATH DE number 7340267
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variance Swap Pricing under Hybrid Jump Model |
scientific article; zbMATH DE number 7340267 |
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Variance Swap Pricing under Hybrid Jump Model (English)
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27 April 2021
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time-scale
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stochastic volatility
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generalised Fourier transform
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variance swap
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