Variance and volatility swaps under a two-factor stochastic...

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International Journal of Theoretical and Applied Finance 2019 / 02

Variance and volatility swaps under a two-factor stochastic volatility model with regime switching

He, Xin-Jiang, Zhu, Song-Ping
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Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024919500092
Date:
February, 2019
File:
PDF, 495 KB
english, 2019
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