An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility

DOI10.1002/mma.9722zbMATH Open1539.91133MaRDI QIDQ6543168

Guan-qi Liu, Chen Mao

Publication date: 24 May 2024

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

zbMATH Keywords

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Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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