A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate |
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A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (English)
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1 October 2020
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analytical pricing formulae
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variance and volatility swaps
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Heston-CIR hybrid model
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series solution
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convergence
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