Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534): Difference between revisions

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-Yong-Hong Wu
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+Yong-Hong Wu
@@ Property / author: Yong-Hong Wu / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2020.113277
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+W3134862230
@@ Property / OpenAlex ID: W3134862230 / rank @@
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@@ Property / cites work @@
+Pricing options on realized variance
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
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+Heston model: the variance swap calibration
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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