Pricing variance swaps under subordinated Jacobi stochastic volatility models

DOI10.1016/j.physa.2022.126941OpenAlexW4205302802MaRDI QIDQ2669408

Zhigang Tong, Allen P. Liu

Publication date: 9 March 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2022.126941

zbMATH Keywords

variance swapsLévy subordinatorspolynomial diffusionadditive subordinatorsJacobi stochastic volatility model

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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