Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model (Q4986444)
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scientific article; zbMATH DE number 7339900
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| English | Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model |
scientific article; zbMATH DE number 7339900 |
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Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model (English)
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27 April 2021
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multi-factor Heston stochastic volatility model
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option
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swaps
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hedging
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bounds
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0.8367193341255188
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0.8181217312812805
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0.8176094889640808
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0.813633143901825
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