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scientific article; zbMATH DE number 7301066
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scientific article; zbMATH DE number 7301066

    Statements

    author
    Jiling Cao
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    Wen-Jun Zhang
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    publication date
    25 January 2021
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    zbMATH Keywords
    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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    Identifiers

    DOI
    10.4134/JKMS.j190616
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    zbMATH DE Number
    7301066
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    arXiv ID
    1610.09714
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