On the valuation of variance swaps with stochastic volatility

DOI10.1016/j.amc.2012.08.006zbMath1290.91169OpenAlexW3123975422MaRDI QIDQ2250184

Guang-Hua Lian, Song-Ping Zhu

Publication date: 4 July 2014

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2012.08.006

zbMATH Keywords

stochastic volatilityvariance swapsHeston modelexplicit formulae

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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