Variance swaps with mean reversion and multi-factor variance
Bin Wu, Pengzhan Chen, Wuyi Ye
| Year of publication: |
2024
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|---|---|
| Authors: | Wu, Bin ; Chen, Pengzhan ; Ye, Wuyi |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 315.2024, 1 (16.5.), p. 191-212
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| Subject: | Long-term variance | Mean reversion | Option pricing | Stochastic processes | Variance swap | Mean Reversion | Swap | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Varianzanalyse | Analysis of variance |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.12.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014562821