Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility

Ke Wang, Xunxiang Guo

https://doi.org/10.1007/s10614-023-10374-7

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Journal: Computational Economics	Publication Date: Mar 30, 2023
Citations: 2

Abstract

Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility

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