Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing variance swaps under subordinated Jacobi stochastic volatility models |
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Pricing variance swaps under subordinated Jacobi stochastic volatility models (English)
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9 March 2022
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Jacobi stochastic volatility model
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polynomial diffusion
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Lévy subordinators
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additive subordinators
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variance swaps
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