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International Journal of Stochastic Analysis
Volume 2011, Article ID 435145, 27 pages
http://dx.doi.org/10.1155/2011/435145
Research Article

Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps

1Mathematical and Computational Finance Laboratory, Department of Mathematics and Statistics, University of Calgary, 2500 University Drive NW, Calgary, AB, Canada T2N 1N4
2H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, 765 Ferst Drive NW, Atlanta, GA 30332, USA

Received 16 December 2010; Revised 9 March 2011; Accepted 16 March 2011

Academic Editor: Kambiz Farahmand

Copyright © 2011 Anatoliy Swishchuk and Li Xu. This is an open access article distributed under the Creative Commons Attribution License,, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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