Analytic solutions for variance swaps with double-mean-reverting volatility

DOI10.1016/j.chaos.2018.06.024zbMath1422.91710OpenAlexW2883419949MaRDI QIDQ2000317

See-Woo Kim, Jeong-Hoon Kim

Publication date: 28 June 2019

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2018.06.024

zbMATH Keywords

characteristic functionHeston modelvariance swapdouble mean reversionGatheral model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Variance swaps under multiscale stochastic volatility of volatility, Pricing generalized variance swaps under the Heston model with stochastic interest rates, Stochastic elasticity of vol-of-vol and pricing of variance swaps

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