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Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model.
Xin-Jiang He
Song-Ping Zhu
Published in:
Expert Syst. Appl. (2022)
Keyphrases
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computational model
probabilistic model
high level
prior knowledge
cost function
markov chain
hybrid model
stochastic model
neural network
probability distribution
conceptual model
formal model
markov processes
stochastic programming