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"Pricing variance swaps under stochastic volatility and stochastic interest ..."

Jiling Cao, Guang-Hua Lian, Teh Raihana Nazirah Roslan (2016)

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DOI: 10.1016/J.AMC.2015.12.027

access: closed

type: Journal Article

metadata version: 2020-02-21

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Jiling Cao, Guang-Hua Lian, Teh Raihana Nazirah Roslan:
Pricing variance swaps under stochastic volatility and stochastic interest rate. Appl. Math. Comput. 277: 72-81 (2016)

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