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A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate.
Xin-Jiang He
Song-Ping Zhu
Published in:
Comput. Math. Appl. (2018)
Keyphrases
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financial markets
learning automaton
stock market
stock price
stochastic optimization
stochastic programming
monte carlo
learning automata
standard deviation
stochastic process
optimal control problems
objective function
stock returns