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...
Kaydedildi:
| Yazar: | |
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| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
Public Library of Science (PLoS)
2025-01-01
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| Seri Bilgileri: | PLoS ONE |
| Online Erişim: | https://doi.org/10.1371/journal.pone.0318886 |
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