Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance (Q2167364)
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scientific article; zbMATH DE number 7575593
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| English | Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance |
scientific article; zbMATH DE number 7575593 |
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Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance (English)
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25 August 2022
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variance swap
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long-run mean of variance
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Heston model
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He-Chen model
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rDMR model
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