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"Pricing generalized variance swaps under the Heston model with stochastic ..."

See-Woo Kim, Jeong-Hoon Kim (2020)

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DOI: 10.1016/J.MATCOM.2019.07.013

access: closed

type: Journal Article

metadata version: 2020-03-04

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See-Woo Kim, Jeong-Hoon Kim:
Pricing generalized variance swaps under the Heston model with stochastic interest rates. Math. Comput. Simul. 168: 1-27 (2020)

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