Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure
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Cited by:
- Kim, See-Woo & Kim, Jeong-Hoon, 2020. "Pricing generalized variance swaps under the Heston model with stochastic interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 168(C), pages 1-27.
- Xin-Jiang He & Sha Lin, 2024. "A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-23, December.
- Xin‐Jiang He & Sha Lin, 2023. "Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 951-967, July.
- Kim, See-Woo & Kim, Jeong-Hoon, 2019. "Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 149-169.
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