EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679)
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scientific article; zbMATH DE number 7072672
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE |
scientific article; zbMATH DE number 7072672 |
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EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (English)
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24 June 2019
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variance swap
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stochastic volatility model with jumps
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stochastic interest rate
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discrete sampling
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equilibrium pricing
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