Variance swaps with mean reversion and multi-factor variance

DOI10.1016/J.EJOR.2023.12.012MaRDI QIDQ6554616zbMATH OpenFDO

Authors Bin Wu, Pengzhan Chen, Wuyi Ye

Publication date 13 June 2024

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2023.12.012

zbMATH Keywords

long-term variancemean reversionoption pricingstochastic processesvariance swap

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

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