Stochastic elasticity of vol-of-vol and pricing of variance swaps

DOI10.1016/j.matcom.2020.03.011OpenAlexW3023394625MaRDI QIDQ1998119

Seong-Tae 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.2020.03.011

zbMATH Keywords

Heston modelvolatility of volatilityvariance swapstochastic elasticity variance

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx)

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