Pricing variance swaps under hybrid CEV and stochastic volatility
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Publication:2222171
DOI10.1016/J.CAM.2020.113220zbMath1457.91369OpenAlexW3092669741MaRDI QIDQ2222171
Jiling Cao, Jeong-Hoon Kim, Wen-Jun Zhang
Publication date: 3 February 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113220
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL ⋮ Pricing of vulnerable options under hybrid stochastic and local volatility ⋮ Closed-form formula for conditional moments of generalized nonlinear drift CEV process ⋮ Valuation of barrier and lookback options under hybrid CEV and stochastic volatility ⋮ Unnamed Item
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