Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068)
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scientific article; zbMATH DE number 7039609
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| English | Pricing variance swaps under stochastic volatility and stochastic interest rate |
scientific article; zbMATH DE number 7039609 |
Statements
Pricing variance swaps under stochastic volatility and stochastic interest rate (English)
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20 March 2019
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generalized Fourier transform
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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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0.9361854791641236
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0.904412031173706
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0.8747765421867371
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0.8710798025131226
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