Variance swaps with mean reversion and multi-factor variance

DOI10.1016/j.ejor.2023.12.012MaRDI QIDQ6554616

Bin Wu, Wuyi Ye, Pengzhan Chen

Publication date: 13 June 2024

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

stochastic processesoption pricingmean reversionvariance swaplong-term variance

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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