Pricing generalized variance swaps under the Heston model...

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Pricing generalized variance swaps under the Heston model with stochastic interest rates

Kim, See-Woo, Kim, Jeong-Hoon
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Language:
english
Journal:
Mathematics and Computers in Simulation
DOI:
10.1016/j.matcom.2019.07.013
Date:
July, 2019
File:
PDF, 1.13 MB
english, 2019
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