Analytically pricing volatility swaps under stochastic volatility (Q2351082): Difference between revisions
From MaRDI portal
Latest revision as of 08:22, 10 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Analytically pricing volatility swaps under stochastic volatility |
scientific article |
Statements
Analytically pricing volatility swaps under stochastic volatility (English)
0 references
22 June 2015
0 references
volatility swaps
0 references
Heston model
0 references
stochastic volatility
0 references
characteristic function
0 references
0 references
0 references
0 references