New model predicts volatility swap prices with unprecedented accuracy and efficiency!
The article introduces a new way to price volatility swaps using a modified Heston model with a variable long-term volatility level. By creating a special formula, the researchers were able to accurately and efficiently calculate the prices of these swaps. They found that the changing long-term volatility level had a significant impact on the prices of volatility swaps, showing how important it is to consider this factor in financial modeling.