"Pricing variance swaps under hybrid CEV and stochastic volatility."

Jiling Cao, Jeong-Hoon Kim, Wenjun Zhang (2021)

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DOI: 10.1016/J.CAM.2020.113220

access: closed

type: Journal Article

metadata version: 2022-05-06

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Jiling Cao, Jeong-Hoon Kim, Wenjun Zhang:
Pricing variance swaps under hybrid CEV and stochastic volatility. J. Comput. Appl. Math. 386: 113220 (2021)

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