2020•Methodology And Computing In Applied ProbabilityRequires access

Variance Swaps Under Multiscale Stochastic Volatility of Volatility

Min-Ku Lee, See-Woo Kim, Jeong‐Hoon Kim

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Key concepts: Variance swap, Stochastic volatility, Volatility swap, Forward volatility, Heston model, Volatility smile, Volatility (finance), Implied volatility

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