Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119)
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scientific article; zbMATH DE number 7318109
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| English | Stochastic elasticity of vol-of-vol and pricing of variance swaps |
scientific article; zbMATH DE number 7318109 |
Statements
Stochastic elasticity of vol-of-vol and pricing of variance swaps (English)
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6 March 2021
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variance swap
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volatility of volatility
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stochastic elasticity variance
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Heston model
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0.8018097281455994
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0.7947677969932556
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0.7919588088989258
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0.7747154235839844
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0.7715198397636414
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