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VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL
- Part of
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- Journal:
- The ANZIAM Journal / Volume 64 / Issue 3 / July 2022
- Published online by Cambridge University Press:
- 26 September 2022, pp. 250-263
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- Article
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