Variance swap with mean reversion, multifactor stochastic volatility and jumps
Chi Seng Pun; Shing Fung Chung; Hoi Ying Wong
| 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 | Mean Reversion | Swap | Optionspreistheorie | Option pricing theory | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011308968