A finite-difference method for the valuation of variance swaps
Author:
Publisher
Infopro Digital Services Limited
Subject
Applied Mathematics,Computer Science Applications,Finance
Cited by 56 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Efficient Valuation of FX Variance Derivatives in LSV Models;2024
2. An analytic solution and an approximate solution for log‐return variance swaps under double‐mean‐reverting volatility;Mathematical Methods in the Applied Sciences;2023-10-11
3. Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance;Computational and Applied Mathematics;2022-07-06
4. VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL;The ANZIAM Journal;2022-07
5. A closed-form pricing formula for variance swaps under a stochastic volatility model with a stochastic mean-reversion level;Soft Computing;2022-01-18
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