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An analytic solution and an approximate solution for log‐re..:
Mao, Chen
;
Liu, Guanqi
Mathematical Methods in the Applied Sciences. 47 (2023) 4 - p. 1868-1882 , 2023
Link:
https://doi.org/10.1002/mma.9722
RT Journal T1 <Title>An analytic solution and an approximate solution for log‐return variance swaps under double‐mean‐reverting volatility</Title> UL https://suche.suub.uni-bremen.de/peid=cr-10.1002_mma.9722&Exemplar=1&LAN=DE A1 Mao, Chen A1 Liu, Guanqi PB Wiley YR 2023 SN 0170-4214 SN 1099-1476 JF Mathematical Methods in the Applied Sciences VO 47 IS 4 SP 1868 OP 1882 LK http://dx.doi.org/https://doi.org/10.1002/mma.9722 DO https://doi.org/10.1002/mma.9722 SF ELIB - SuUB Bremen
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