Multiscale stochastic volatility for variance swaps with constant elasticity of variance
Author:
Funder
National Research Foundation of Korea
Publisher
Springer Science and Business Media LLC
Subject
Geometry and Topology,Theoretical Computer Science,Software
Link
https://link.springer.com/content/pdf/10.1007/s00500-022-07679-4.pdf
Reference28 articles.
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2. Broadie M, Jain A (2008) The effect of jumps and discrete sampling on volatility and variance swaps. Int J Theor Appl Finance 11(08):761–797
3. Cao J, Kim JH, Zhang W (2021) Pricing variance swaps under hybrid CEV and stochastic volatility. J Comput Appl Math 386:113–220
4. Carr P, Madan D (2001) Towards a theory of volatility trading. In: Option pricing, interest rates and risk management, handbooks in mathematical finance, pp 458–476
5. Choi SY, Fouque JP, Kim JH (2013) Option pricing under hybrid stochastic and local volatility. Quant Finance 13(8):1157–1165
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