A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model
Sign Up to like & getrecommendations! Published in 2021 at "Computational Economics"
DOI: 10.1007/s10614-021-10214-6
Abstract: As is well known, multi-factor stochastic volatility models are necessary to capture the market accurately in pricing financial derivatives. However, the multi-factor models usually require too many parameters to be calibrated efficiently and they do… read more here.
Keywords: closed form; variance swaps; heston model; double heston ... See more keywords