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Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate · Study

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ArticlePricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate

Jiling Cao2014

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Articlegreen2014

Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate

Jiling Cao · Guanghua Lian · Teh Raihana Nazirah Roslan

25 citations·0/0 files stored·Applied Mathematics and Computation

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Fuzzy Systems and Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 2003Monte Carlo Methods in Financial Engineering 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 2015Evolutionary games on multilayer networks: a colloquium

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Year2014

Typearticle

Published2014-01-01

VenueApplied Mathematics and Computation

ISSN-L0096-3003

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.amc.2015.12.027

openalex_workW2255941286

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