Variance swap with mean reversion, multifactor stochastic volatility and jumps

Published 2015 View Full Article

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Title
Variance swap with mean reversion, multifactor stochastic volatility and jumps
Authors
Keywords
Pricing, Variance swap, Multi-factor stochastic volatility, Mean reversion, Jump diffusion
Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 245, Issue 2, Pages 571-580
Publisher
Elsevier BV
Online
2015-04-17
DOI
10.1016/j.ejor.2015.03.026

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