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"Pricing variance swaps under stochastic volatility with an ..."

Zhaoli Jia, Xiuchun Bi, Shuguang Zhang (2015)

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DOI: 10.1007/S11424-015-3165-6

access: closed

type: Journal Article

metadata version: 2020-06-08

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  dblp key:
  - journals/jossac/JiaBZ15
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  - https://dblp.org/rec/journals/jossac/JiaBZ15
Zhaoli Jia, Xiuchun Bi, Shuguang Zhang:
Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process. J. Syst. Sci. Complex. 28(6): 1412-1425 (2015)

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