Pricing variance swaps under subordinated Jacobi stochastic volatility models

被引：0
|
作者：
Tong, Zhigang [1 ,2 ]
Liu, Allen [2 ]
机构：
[1] Department of Mathematics and Statistics, University of Ottawa, 585 King Edward, Ottawa, Ontario,K1N 6N5, Canada
[2] Enterprise Risk and Portfolio Management, Bank of Montreal, First Canadian Place, Toronto, Ontario,M5X 1A3, Canada
来源：
Physica A: Statistical Mechanics and its Applications | 2022年 / 593卷
关键词：
Compilation and indexing terms; Copyright 2024 Elsevier Inc;
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学科分类号：
摘要：
Additives - Costs - Stochastic systems - Economic analysis - Stochastic models
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