VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL
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Publication:5890133
DOI10.1017/S144618112200013XMaRDI QIDQ5890133
Publication date: 28 April 2023
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s144618112200013x
analytical solution; volatility swaps; modified Heston model; risk-neutralized volatility; stochastic long-run variance
91G20: Derivative securities (option pricing, hedging, etc.)
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