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A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model
As is well known, multi-factor stochastic volatility models are necessary to capture the market accurately in pricing financial derivatives. However, the multi-factor models usually require too many parameters to be calibrated efficiently and they do not lead to an analytic pricing formula. The doub...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer US
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8627299/ https://www.ncbi.nlm.nih.gov/pubmed/34866801 http://dx.doi.org/10.1007/s10614-021-10214-6 |