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Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
The Heston model is a popular stochastic volatility model in mathematical finance and it has been extended or modified in several ways by researchers to overcome the shortcomings of the model in the context of pricing derivatives. However, the extended models usually do not lead to a closed-form for...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9261259/ http://dx.doi.org/10.1007/s40314-022-01939-7 |