An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility
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Publication:6543168
DOI10.1002/mma.9722zbMATH Open1539.91133MaRDI QIDQ6543168
Publication date: 24 May 2024
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
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Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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