Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (Q3445890)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching |
scientific article |
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Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (English)
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7 June 2007
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regime switching Esscher transform
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Markov-modulated Heston's SV model
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observable Markov chain process
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volatility swaps
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variance swaps
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regime switching OU-process
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