Analytic solutions for variance swaps with double-mean-reverting volatility
type: Item
instance of: scholarly article
title: Analytic solutions for variance swaps with double-mean-reverting volatility
zbMATH Open document ID: 1422.91710
author: S. W. Kim
author: Jeong-Hoon Kim
published in: Chaos, Solitons and Fractals
publication date: 2019-06-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 7074736
zbMATH Keywords: variance swap
zbMATH Keywords: Gatheral model
zbMATH Keywords: Heston model
zbMATH Keywords: double mean reversion
zbMATH Keywords: characteristic function
MaRDI profile type: Publication
full work available at URL: j.chaos.2018.06.024
OpenAlex ID: W2883419949
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DOI: 10.1016/J.CHAOS.2018.06.024
description: scientific article; zbMATH DE number 7074736