Pricing forward-start variance swaps with stochastic volatility (Q902796): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.amc.2014.10.050 / rank
 
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Latest revision as of 06:16, 11 July 2024

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Pricing forward-start variance swaps with stochastic volatility
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    Pricing forward-start variance swaps with stochastic volatility (English)
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    4 January 2016
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    variance swaps
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    Heston model
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    characteristic function
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    stochastic volatility
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