Results 181 to 190 of about 960,135 (193)

Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility

Computational Economics, 2023
Ke Wang, Xunxiang Guo
semanticscholar   +1 more source

Pricing variance swaps under hybrid CEV and stochastic volatility

Journal of Computational and Applied Mathematics, 2021
Jiling Cao, Jeong‐Hoon Kim, Wenjun Zhang   +2 more
semanticscholar   +1 more source

Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields

, 2021
S. Rujivan
semanticscholar   +1 more source

Variance Swaps Under Multiscale Stochastic Volatility of Volatility

Methodology and Computing in Applied Probability, 2020
Min-Ku Lee, See-Woo Kim, Jeong‐Hoon Kim   +2 more
semanticscholar   +2 more sources

Pricing Discretely Sampled Variance Swaps with Cap/Floor Under Heston Stochastic Volatility Model

Wilmott Magazine, 2021
S. Stoykov
semanticscholar   +1 more source

Variance Swaps with Deterministic and Stochastic Correlations

Computational Economics, 2020
A. Han, Jeong‐Hoon Kim, See-Woo Kim
semanticscholar   +2 more sources

Variance swaps pricing under the regime-switching jump-diffusion model

Brazilian Journal of Probability and Statistics
Anqi Zou, Jiajie Wang, Chiye Wu
semanticscholar   +1 more source

Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks

The North American journal of economics and finance, 2023
Xin‐Jiang He, Sha Lin
semanticscholar   +1 more source

Pricing generalized variance swaps under the Heston model with stochastic interest rates

Mathematics and Computers in Simulation, 2020
See-Woo Kim, Jeong‐Hoon Kim
semanticscholar   +1 more source

Stochastic elasticity of vol-of-vol and pricing of variance swaps

Mathematics and Computers in Simulation, 2020
Seong-Tae Kim, Jeong‐Hoon Kim
semanticscholar   +1 more source