View in EDS HTML Full Text PDF Full Text

Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance.

Saved in:
Bibliographic Details
Title: Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance.
Authors: Yoon, Youngin1 (AUTHOR), Seo, Jun-Ho1 (AUTHOR), Kim, Jeong-Hoon1 (AUTHOR) jhkim96@yonsei.ac.kr
Source: Computational & Applied Mathematics. Sep2022, Vol. 41 Issue 6, p1-28. 28p.
Database: Mathematics Source
Full text is not displayed to guests.
Description
ISSN:01018205
DOI:10.1007/s40314-022-01939-7