Pricing variance swaps under hybrid CEV and stochastic volatility (Q2222171)
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scientific article; zbMATH DE number 7305143
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| English | Pricing variance swaps under hybrid CEV and stochastic volatility |
scientific article; zbMATH DE number 7305143 |
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Pricing variance swaps under hybrid CEV and stochastic volatility (English)
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3 February 2021
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asymptotic analysis
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Black-Scholes
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calibration
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SVCEV
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Heston
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variance swap
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0.838829755783081
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0.8371214866638184
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0.8243850469589233
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0.8179691433906555
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0.8093191385269165
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