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"Closed-form pricing formulas for variance swaps in the Heston model with ..."

Youngin Yoon, Jun-Ho Seo, Jeong-Hoon Kim (2022)

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DOI: 10.1007/S40314-022-01939-7

access: closed

type: Journal Article

metadata version: 2023-08-28

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Youngin Yoon, Jun-Ho Seo, Jeong-Hoon Kim:
Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance. Comput. Appl. Math. 41(6) (2022)

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