Analytic solutions for variance swaps with double-mean-reverting volatility
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Publication:2000317
DOI10.1016/J.CHAOS.2018.06.024zbMATH Open1422.91710OpenAlexW2883419949MaRDI QIDQ2000317FDOQ2000317
Authors: S. W. Kim, Jeong-Hoon Kim 
Publication date: 28 June 2019
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2018.06.024
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Cited In (8)
- 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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