Pricing generalized variance swaps under the Heston model with stochastic interest rates (Q1997863)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7317949
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing generalized variance swaps under the Heston model with stochastic interest rates |
scientific article; zbMATH DE number 7317949 |
Statements
Pricing generalized variance swaps under the Heston model with stochastic interest rates (English)
0 references
6 March 2021
0 references
generalized variance swap
0 references
Heston-CIR model
0 references
discounted characteristic function
0 references
projection techniques
0 references
Monte-Carlo simulation
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8747765421867371
0 references
0.8333612084388733
0 references
0.8295605778694153
0 references
0.8265505433082581
0 references
0.8256904482841492
0 references
