Pricing generalized variance swaps under the Heston model with stochastic interest rates

DOI10.1016/j.matcom.2019.07.013OpenAlexW2965257007MaRDI QIDQ1997863

See-Woo Kim, Jeong-Hoon Kim

Publication date: 6 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2019.07.013

zbMATH Keywords

projection techniquesMonte-Carlo simulationdiscounted characteristic functiongeneralized variance swapHeston-CIR model

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Markov processes (60Jxx)

Related Items

Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance

Cites Work

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