Pricing variance swaps under stochastic volatility with an...

Journal of Systems Science and Complexity 2015 / 12 Vol. 28; Iss. 6

Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process

Jia, Zhaoli, Bi, Xiuchun, Zhang, Shuguang
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Volume:
28
Language:
english
Journal:
Journal of Systems Science and Complexity
DOI:
10.1007/s11424-015-3165-6
Date:
December, 2015
File:
PDF, 244 KB
english, 2015
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