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Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance.
Youngin Yoon
Jun-Ho Seo
Jeong-Hoon Kim
Published in:
Comput. Appl. Math. (2022)
Keyphrases
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closed form
long run
machine learning
probabilistic model
iterative procedure
closed form expressions
non stationary