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Pricing variance swaps under stochastic volatility and stochastic interest rate.

Jiling CaoGuang-Hua LianTeh Raihana Nazirah Roslan
Published in: Appl. Math. Comput. (2016)
Keyphrases
  • stochastic model
  • real time
  • stochastic process
  • markov processes
  • stochastic nature
  • genetic algorithm
  • monte carlo
  • stochastic processes
  • learning automata
  • stochastic optimization