"Analytical pricing formulae for variance and volatility swaps with a new ..."

Xin-Jiang He, Song-Ping Zhu (2022)

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DOI: 10.1016/J.ESWA.2022.117880

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type: Journal Article

metadata version: 2023-03-21

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Xin-Jiang He, Song-Ping Zhu:
Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model. Expert Syst. Appl. 206: 117880 (2022)

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