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"Stochastic elasticity of vol-of-vol and pricing of variance swaps."

Seong-Tae Kim, Jeong-Hoon Kim (2020)

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DOI: 10.1016/J.MATCOM.2020.03.011

access: closed

type: Journal Article

metadata version: 2020-07-10

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Seong-Tae Kim, Jeong-Hoon Kim:
Stochastic elasticity of vol-of-vol and pricing of variance swaps. Math. Comput. Simul. 177: 420-440 (2020)

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