The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (Q5146449): Difference between revisions
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The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure | |||
| Property / DOI | |||
| Property / DOI: 10.4134/JKMS.j190616 / rank | |||
| Property / author | |||
| Property / author: Wen-Jun Zhang / rank | |||
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| Property / author: Wen-Jun Zhang / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / arXiv ID: 1610.09714 / rank | |||
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| Property / cites work: Prices and Asymptotics for Discrete Variance Swaps / rank | |||
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| Property / OpenAlex ID: W3082002757 / rank | |||
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The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (English) | |||
| Property / title: The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (English) / rank | |||
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| Property / DOI | |||
| Property / DOI: 10.4134/JKMS.J190616 / rank | |||
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Latest revision as of 16:07, 30 December 2024
scientific article; zbMATH DE number 7301066
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure |
scientific article; zbMATH DE number 7301066 |
Statements
25 January 2021
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Heston-CIR hybrid model
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realized variance
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stochastic interest rate
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stochastic volatility
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variance swap
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generalized Fourier transform
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The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (English)
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