VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (Q5384677): Difference between revisions
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scientific article; zbMATH DE number 7072670
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING |
scientific article; zbMATH DE number 7072670 |
Statements
VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (English)
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24 June 2019
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variance swaps
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volatility swaps
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stochastic volatility
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regime switching
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Heston model
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CIR model
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Markov chains
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