Analytic solutions of variance swaps for Heston models with stochastic long-run mean of variance and jumps.
This paper presents the pricing formulas for variance swaps within the Heston model that incorporates jumps and a stochastic long-term mean for the underlying asset. By leveraging the Feynman-Kac theorem, we derive a partial integro-differential equation (PIDE) to obtain the joint moment-generating...
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| Autor principal: | |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Public Library of Science (PLoS)
2025-01-01
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| coleção: | PLoS ONE |
| Acesso em linha: | https://doi.org/10.1371/journal.pone.0318886 |
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