Variance swap with mean reversion, multifactor stochastic volatility and jumps
Year of publication: |
2015
|
---|---|
Authors: | Pun, Chi Seng ; Chung, Shing Fung ; Wong, Hoi Ying |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 245.2015, 2 (1.9.), p. 571-580
|
Subject: | Pricing | Variance swap | Multi-factor stochastic volatility | Mean reversion | Jump diffusion | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Swap | Optionspreistheorie | Option pricing theory | Mean Reversion |
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