Variance swaps under multiscale stochastic volatility of volatility

DOI10.1007/S11009-020-09834-6zbMath1492.91379OpenAlexW3098695750MaRDI QIDQ2671216

See-Woo Kim, Min-Ku Lee, Jeong-Hoon Kim

Publication date: 3 June 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-020-09834-6

zbMATH Keywords

asymptotic expansionstochastic volatilityvariance swapstochastic volatility of volatility

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL

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