Stochastic elasticity of vol-of-vol and pricing of variance swaps
type: Item
instance of: scholarly article
title: Stochastic elasticity of vol-of-vol and pricing of variance swaps
author: Seong-Tae Kim
author: Jeong-Hoon Kim
published in: Mathematics and Computers in Simulation
publication date: 2021-03-06T00:00:00Z
Mathematics Subject Classification ID: 91Gxx
Mathematics Subject Classification ID: 91Bxx
zbMATH DE Number: 7318109
zbMATH Keywords: variance swap
zbMATH Keywords: volatility of volatility
zbMATH Keywords: stochastic elasticity variance
zbMATH Keywords: Heston model
MaRDI profile type: Publication
full work available at URL: j.matcom.2020.03.011
OpenAlex ID: W3023394625
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DOI: 10.1016/J.MATCOM.2020.03.011
description: scientific article; zbMATH DE number 7318109