"Variance swap with mean reversion, multifactor stochastic volatility and ..."

Chi Seng Pun, Shing Fung Chung, Hoi Ying Wong (2015)

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DOI: 10.1016/J.EJOR.2015.03.026

access: closed

type: Journal Article

metadata version: 2020-02-21

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Chi Seng Pun, Shing Fung Chung, Hoi Ying Wong:
Variance swap with mean reversion, multifactor stochastic volatility and jumps. Eur. J. Oper. Res. 245(2): 571-580 (2015)

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