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Volatility and variance swaps and options in the fractional SABR model
Kim, See-Woo; Kim, Jeong-Hoon - In: The European journal of finance 26 (2020) 17, pp. 1725-1745
Persistent link: https://www.econbiz.de/10012314649
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Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility
Kim, See-Woo; Kim, Jeong-Hoon - In: The North American journal of economics and finance : a … 48 (2019), pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
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Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum; Kim, Jeong-Hoon; Kim, See-Woo - In: Computational economics 57 (2021) 4, pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
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Variance and volatility swaps and options under the exponential fractional Ornstein-Uhlenbeck model
Kim, Hyun-Gyoon; Kim, See-Woo; Kim, Jeong-Hoon - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014534851
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A closed form solution for pricing variance swaps under the rescaled double Heston model
Yoon, Youngin; Kim, Jeong-Hoon - In: Computational economics 61 (2023) 1, pp. 429-450
Persistent link: https://www.econbiz.de/10014228437