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PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE
PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE
2021
Huojun Wu
Zhaoli Jia
Shuquan Yang
Ce Liu
Keywords:
Variance swap
Econometrics
Stochastic volatility
Interest rate
Mathematics
Correction
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