2018•Computers & Mathematics with ApplicationsOpen access

A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate

Xin‐Jiang He, Song‐Ping Zhu

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Key concepts: Variance swap, Stochastic volatility, Volatility swap, SABR volatility model, Mathematics, Volatility (finance), Interest rate swap, Econometrics

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A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate — Research Paper | ScholarLens