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"A closed-form pricing formula for variance swaps under a stochastic ..."

Xin-Jiang He, Sha Lin (2022)

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DOI: 10.1007/S00500-022-06753-1

access: closed

type: Journal Article

metadata version: 2022-04-01

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Xin-Jiang He, Sha Lin:
A closed-form pricing formula for variance swaps under a stochastic volatility model with a stochastic mean-reversion level. Soft Comput. 26(8): 3939-3946 (2022)

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