VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL

DOI10.1017/S144618112200013XMaRDI QIDQ5890133

Sha Lin, Xin-Jiang He

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

zbMATH Keywords

analytical solution; volatility swaps; modified Heston model; risk-neutralized volatility; stochastic long-run variance

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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