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.
FullText Links:
  – Type: pdflink
Text:
  Availability: 1
Header DbId: msf
DbLabel: Mathematics Source
An: 158609694
AccessLevel: 2
PubType: Academic Journal
PubTypeId: academicJournal
PreciseRelevancyScore: 0
IllustrationInfo
Items – Name: Title
  Label: Title
  Group: Ti
  Data: Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance.
– Name: Author
  Label: Authors
  Group: Au
  Data: <searchLink fieldCode="AR" term="%22Yoon%2C+Youngin%22">Yoon, Youngin</searchLink><relatesTo>1</relatesTo> (AUTHOR)<br /><searchLink fieldCode="AR" term="%22Seo%2C+Jun-Ho%22">Seo, Jun-Ho</searchLink><relatesTo>1</relatesTo> (AUTHOR)<br /><searchLink fieldCode="AR" term="%22Kim%2C+Jeong-Hoon%22">Kim, Jeong-Hoon</searchLink><relatesTo>1</relatesTo> (AUTHOR)<i> jhkim96@yonsei.ac.kr</i>
– Name: TitleSource
  Label: Source
  Group: Src
  Data: <searchLink fieldCode="JN" term="%22Computational+%26+Applied+Mathematics%22">Computational & Applied Mathematics</searchLink>. Sep2022, Vol. 41 Issue 6, p1-28. 28p.
PLink https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=msf&AN=158609694
RecordInfo BibRecord:
  BibEntity:
    Identifiers:
      – Type: doi
        Value: 10.1007/s40314-022-01939-7
    Languages:
      – Code: eng
        Text: English
    PhysicalDescription:
      Pagination:
        PageCount: 28
        StartPage: 1
    Titles:
      – TitleFull: Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance.
        Type: main
  BibRelationships:
    HasContributorRelationships:
      – PersonEntity:
          Name:
            NameFull: Yoon, Youngin
      – PersonEntity:
          Name:
            NameFull: Seo, Jun-Ho
      – PersonEntity:
          Name:
            NameFull: Kim, Jeong-Hoon
    IsPartOfRelationships:
      – BibEntity:
          Dates:
            – D: 01
              M: 09
              Text: Sep2022
              Type: published
              Y: 2022
          Identifiers:
            – Type: issn-print
              Value: 01018205
          Numbering:
            – Type: volume
              Value: 41
            – Type: issue
              Value: 6
          Titles:
            – TitleFull: Computational & Applied Mathematics
              Type: main
ResultId 1