{"title":"多因素bns型随机波动率模型下互换的估值、套期保值和边界","authors":"Aziz Issaka","doi":"10.1142/s2010495220500074","DOIUrl":null,"url":null,"abstract":"In this paper, we consider price weighted-volatility swap and price weighted-variance swap. The underlying asset considered in this paper is assumed to follow a general stochastic differential equa...","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"15 1","pages":"2050007"},"PeriodicalIF":2.0000,"publicationDate":"2020-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/s2010495220500074","citationCount":"0","resultStr":"{\"title\":\"VALUATION, HEDGING, AND BOUNDS OF SWAPS UNDER MULTI-FACTOR BNS-TYPE STOCHASTIC VOLATILITY MODELS\",\"authors\":\"Aziz Issaka\",\"doi\":\"10.1142/s2010495220500074\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we consider price weighted-volatility swap and price weighted-variance swap. The underlying asset considered in this paper is assumed to follow a general stochastic differential equa...\",\"PeriodicalId\":43570,\"journal\":{\"name\":\"Annals of Financial Economics\",\"volume\":\"15 1\",\"pages\":\"2050007\"},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2020-06-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1142/s2010495220500074\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annals of Financial Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/s2010495220500074\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"0\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Financial Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/s2010495220500074","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"0","JCRName":"ECONOMICS","Score":null,"Total":0}
VALUATION, HEDGING, AND BOUNDS OF SWAPS UNDER MULTI-FACTOR BNS-TYPE STOCHASTIC VOLATILITY MODELS
In this paper, we consider price weighted-volatility swap and price weighted-variance swap. The underlying asset considered in this paper is assumed to follow a general stochastic differential equa...
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