VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (Q5890133)
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scientific article; zbMATH DE number 7680729
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| English | VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL |
scientific article; zbMATH DE number 7680729 |
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VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (English)
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28 April 2023
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volatility swaps
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modified Heston model
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risk-neutralized volatility
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stochastic long-run variance
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analytical solution
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0.8316446542739868
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0.8310851454734802
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0.8256728649139404
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0.8156415820121765
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