Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317)
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scientific article; zbMATH DE number 7074736
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| English | Analytic solutions for variance swaps with double-mean-reverting volatility |
scientific article; zbMATH DE number 7074736 |
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Analytic solutions for variance swaps with double-mean-reverting volatility (English)
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28 June 2019
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variance swap
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Gatheral model
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Heston model
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double mean reversion
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characteristic function
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