Pricing forward-start variance swaps with stochastic volatility (Q902796)
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scientific article; zbMATH DE number 6525875
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing forward-start variance swaps with stochastic volatility |
scientific article; zbMATH DE number 6525875 |
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Pricing forward-start variance swaps with stochastic volatility (English)
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4 January 2016
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variance swaps
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Heston model
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characteristic function
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stochastic volatility
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0.8873543739318848
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0.8574064373970032
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0.8477808237075806
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0.847009539604187
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0.8350365161895752
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