相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
Youngin Yoon et al.
COMPUTATIONAL & APPLIED MATHEMATICS (2022)
Pricing generalized variance swaps under the Heston model with stochastic interest rates
See-Woo Kim et al.
MATHEMATICS AND COMPUTERS IN SIMULATION (2020)
Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching
Sha Lin et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2020)
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Alexandru Badescu et al.
ANNALS OF OPERATIONS RESEARCH (2019)
A general framework for time-changed Markov processes and applications
Zhenyu Cui et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2019)
Variance swaps valuation under non-affine GARCH models and their diffusion limits
Alexandru Badescu et al.
QUANTITATIVE FINANCE (2019)
A closed-form pricing formula for variance swaps under MRG-Vasicek model
Yuecai Han et al.
COMPUTATIONAL & APPLIED MATHEMATICS (2019)
Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
Indranil SenGupta et al.
MATHEMATICS AND FINANCIAL ECONOMICS (2019)
Analytic solutions for variance swaps with double-mean-reverting volatility
See-Woo Kim et al.
CHAOS SOLITONS & FRACTALS (2018)
Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
Aziz Issaka et al.
ANNALS OF FINANCE (2017)
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
Xin-Jiang He et al.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2016)
Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets
Semere Habtemicael et al.
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING (2016)
MULTISCALE STOCHASTIC VOLATILITY WITH THE HULL-WHITE RATE OF INTEREST
Jeong-Hoon Kim et al.
JOURNAL OF FUTURES MARKETS (2014)
Option pricing with stochastic liquidity risk: Theory and evidence
Shih-Ping Feng et al.
JOURNAL OF FINANCIAL MARKETS (2014)
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
Robert J. Elliott et al.
QUANTITATIVE FINANCE (2013)
A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
Song-Ping Zhu et al.
MATHEMATICAL FINANCE (2011)
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
Peter Christoffersen et al.
MANAGEMENT SCIENCE (2009)