Variance swaps with mean reversion and multi-factor variance (Q6554616)
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scientific article; zbMATH DE number 7864399
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| English | Variance swaps with mean reversion and multi-factor variance |
scientific article; zbMATH DE number 7864399 |
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Variance swaps with mean reversion and multi-factor variance (English)
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13 June 2024
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stochastic processes
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variance swap
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mean reversion
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long-term variance
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option pricing
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