An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility (Q6543168)
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scientific article; zbMATH DE number 7852765
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility |
scientific article; zbMATH DE number 7852765 |
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An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility (English)
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24 May 2024
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analytical solution
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double mean reversion
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stochastic volatility
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variance swap
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