"Variance swaps with mean reversion and multi-factor variance."

Bin Wu, Pengzhan Chen, Wuyi Ye (2024)

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DOI: 10.1016/J.EJOR.2023.12.012

access: closed

type: Journal Article

metadata version: 2024-08-04

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Bin Wu, Pengzhan Chen, Wuyi Ye:
Variance swaps with mean reversion and multi-factor variance. Eur. J. Oper. Res. 315(1): 191-212 (2024)

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