VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (Q5890133)

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scientific article; zbMATH DE number 7680729
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VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL
scientific article; zbMATH DE number 7680729

    Statements

    VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (English)
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    28 April 2023
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    volatility swaps
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    modified Heston model
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    risk-neutralized volatility
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    stochastic long-run variance
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    analytical solution
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