Pricing Variance Swaps Under Stochastic Volatility with an Ornstein-Uhlenbeck Process

JIA Zhaoli,BI Xiuchun,ZHANG Shuguang

Journal of Systems Science & Complexity ›› 2015, Vol. 28 ›› Issue (6) : 1412-1425.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science & Complexity ›› 2015, Vol. 28 ›› Issue (6) : 1412-1425. DOI: 10.1007/s11424-015-3165-6

Pricing Variance Swaps Under Stochastic Volatility with an Ornstein-Uhlenbeck Process

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Complexity, 2015, 28(6): 1412-1425 https://doi.org/10.1007/s11424-015-3165-6

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