He, Xin-Jiang; Lin, Sha A semi-analytical pricing formula for European options under the rough Heston-CIR model. (English) Zbl 1443.91291 ANZIAM J. 61, No. 4, 431-445 (2019). MSC: 91G20 60G22 91B70 PDFBibTeX XMLCite \textit{X.-J. He} and \textit{S. Lin}, ANZIAM J. 61, No. 4, 431--445 (2019; Zbl 1443.91291) Full Text: DOI
Rujivan, Sanae; Zhu, Song-Ping A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model. (English) Zbl 1298.91169 ANZIAM J. 56, No. 1, 1-27 (2014). MSC: 91G20 91B70 60H30 PDFBibTeX XMLCite \textit{S. Rujivan} and \textit{S.-P. Zhu}, ANZIAM J. 56, No. 1, 1--27 (2014; Zbl 1298.91169) Full Text: DOI