VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (Q5384677): Difference between revisions

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+A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
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+Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
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+COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES
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+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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+Analytically pricing volatility swaps under stochastic volatility
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024919500092
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@@ Property / OpenAlex ID @@
+W2913187600
@@ Property / OpenAlex ID: W2913187600 / rank @@
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