Analytic solutions for variance swaps with double-mean-reverting volatility

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Cites work

scientific article; zbMATH DE number 1818854 (Why is no real title available?)
scientific article; zbMATH DE number 961607 (Why is no real title available?)
A closed form solution for vulnerable options with Heston's stochastic volatility
A closed-form exact solution for pricing variance swaps with stochastic volatility
A closed-form solution for options with stochastic volatility with applications to bond and currency options
A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
A theory of the term structure of interest rates
ADI schemes for pricing American options under the Heston model
Closed form pricing formulas for discretely sampled generalized variance swaps
Fast Ninomiya-Victoir calibration of the double-mean-reverting model
Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay
Numerical solutions of stochastic differential equations -- implementation and stability issues
On the Heston model with stochastic correlation
On the Heston model with stochastic interest rates
Prices and asymptotics for discrete variance swaps
Pricing interest-rate-derivative securities
Pricing of geometric Asian options under Heston's stochastic volatility model
Pricing variance swaps under stochastic volatility and stochastic interest rate
Probability distribution of returns in the Heston model with stochastic volatility
Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
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Cited in

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A closed-form pricing formula for variance swaps under MRG-Vasicek model
Pricing generalized variance swaps under the Heston model with stochastic interest rates
Stochastic elasticity of vol-of-vol and pricing of variance swaps
Variance swaps under multiscale stochastic volatility of volatility
A scaled version of the double-mean-reverting model for VIX derivatives
Fast Ninomiya-Victoir calibration of the double-mean-reverting model
Pricing of timer volatility-barrier options under Heston's stochastic volatility model
An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility

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