Variance swap with mean reversion, multifactor stochastic volatility and jumps (Q319633)
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scientific article; zbMATH DE number 6633611
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| English | Variance swap with mean reversion, multifactor stochastic volatility and jumps |
scientific article; zbMATH DE number 6633611 |
Statements
Variance swap with mean reversion, multifactor stochastic volatility and jumps (English)
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6 October 2016
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pricing
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variance swap
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multi-factor stochastic volatility
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mean reversion
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jump diffusion
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0.801234245300293
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0.7977694272994995
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0.7964345812797546
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0.7962296009063721
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0.7916573882102966
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