The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (Q5146449)
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scientific article; zbMATH DE number 7301066
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| English | The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure |
scientific article; zbMATH DE number 7301066 |
Statements
25 January 2021
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Heston-CIR hybrid model
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realized variance
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stochastic interest rate
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stochastic volatility
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variance swap
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generalized Fourier transform
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The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (English)
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0.8635803461074829
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0.8597716093063354
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0.8569440841674805
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0.836825966835022
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