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Option pricing
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Chung, Tsz-Kin
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1
Variance swaps with mean reversion and multi-factor variance
Wu, Bin
;
Chen, Pengzhan
;
Ye, Wuyi
- In:
European journal of operational research : EJOR
315
(
2024
)
1
,
pp. 191-212
Persistent link: https://www.econbiz.de/10014562821
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2
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Fonseca, José da
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Operations research letters
43
(
2015
)
6
,
pp. 601-607
Persistent link: https://www.econbiz.de/10011416324
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3
Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model
Nagashima, Kazuki
;
Chung, Tsz-Kin
;
Tanaka, Keiichi
- In:
Asia-Pacific Financial Markets
21
(
2014
)
4
,
pp. 351-396
surface and
variance
swap
rates. Moreover, the two-factor model is able to reproduce the shapes of the implied volatility …
Persistent link: https://www.econbiz.de/10010989076
Saved in:
4
Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki
;
Chung, Tsz-Kin
;
Tanaka, Keiichi
- In:
Asia-Pacific financial markets
21
(
2014
)
4
,
pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
Saved in:
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