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	Pricing variance swaps under stochastic volatility and stochastic interest rate
	Cao, Jiling; Lian, Guanghua; Roslan, Teh Raihana Nazirah
刊名	Applied Mathematics and Computation
	2016
卷号	Vol.277页码:72-81
关键词	Generalized Fourier transform Heston–CIR hybrid model Realized variance Stochastic interest rate Stochastic volatility Variance swap
ISSN号	0096-3003
URL标识	查看原文
公开日期	[db:dc_date_available]
内容类型	期刊论文
URI标识	http://www.corc.org.cn/handle/1471x/6064763
专题	湖南大学
作者单位	1.School of Engineering, Computer and Mathematical Sciences, Auckland University of Technology, Private Bag 92006, Auckland 2.1142, New Zealand 3.College of Finance and Statistics, Hunan University, Changsha, China 4.School of Commerce, University of
推荐引用方式 GB/T 7714	Cao, Jiling,Lian, Guanghua,Roslan, Teh Raihana Nazirah. Pricing variance swaps under stochastic volatility and stochastic interest rate[J]. Applied Mathematics and Computation,2016,Vol.277:72-81.
APA	Cao, Jiling,Lian, Guanghua,&Roslan, Teh Raihana Nazirah.(2016).Pricing variance swaps under stochastic volatility and stochastic interest rate.Applied Mathematics and Computation,Vol.277,72-81.
MLA	Cao, Jiling,et al."Pricing variance swaps under stochastic volatility and stochastic interest rate".Applied Mathematics and Computation Vol.277(2016):72-81.

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