PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE

Pricing variance swaps under stochastic volatility and stochastic interest rate

(2016) Jiling Cao et al.   APPLIED MATHEMATICS AND COMPUTATION

Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model

(2015) Youfa Sun   INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS

On the valuation of variance swaps with stochastic volatility

(2012) Song-Ping Zhu et al.   APPLIED MATHEMATICS AND COMPUTATION

A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility

(2012) Sanae Rujivan et al.   APPLIED MATHEMATICS LETTERS

On the Heston Model with Stochastic Interest Rates

(2011) Lech A. Grzelak et al.   SIAM Journal on Financial Mathematics

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

(2009) Peter Christoffersen et al.   MANAGEMENT SCIENCE

A multifactor volatility Heston model

(2008) JosÉ Da Fonseca et al.   QUANTITATIVE FINANCE