PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE (Q5051186)
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scientific article; zbMATH DE number 7621895
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE |
scientific article; zbMATH DE number 7621895 |
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PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE (English)
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22 November 2022
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double Heston hybrid model
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generalized Fourier transform
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realized variance
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variance swap
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