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

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-Song-Ping Zhu
@@ Property / author: Song-Ping Zhu / rank @@
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+Song-Ping Zhu
@@ Property / author: Song-Ping Zhu / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / cites work @@
+A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
@@ Property / cites work: A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
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+Analysis of time series subject to changes in regime
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+An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
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+How should a local regime-switching model be calibrated?
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+On the pricing and hedging of volatility derivatives
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+Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
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+GARCH and volatility swaps
@@ Property / cites work: GARCH and volatility swaps / rank @@
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+Q5260212
@@ Property / cites work: Q5260212 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing in a regime-switching model using the fast Fourier transform
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+COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES
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+Pricing currency options under two-factor Markov-modulated stochastic volatility models
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+Q5454921
@@ Property / cites work: Q5454921 / rank @@
+Normal rank
@@ Property / cites work @@
+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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@@ Property / cites work @@
+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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+W2913187600
@@ Property / OpenAlex ID: W2913187600 / rank @@
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+Publication:5384677