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Variance swap with mean reversion, multifactor stochastic volatility and jumps

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References

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2020Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations41 cited
2019Pricing variance swaps under the Hawkes jump‐diffusion process35 cited
2015An explicitly solvable Heston model with stochastic interest rate34 cited

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2023

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

33 cited

2014Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps26 cited