Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411)
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scientific article; zbMATH DE number 6260364
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case |
scientific article; zbMATH DE number 6260364 |
Statements
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (English)
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20 February 2014
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variance swaps
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regime switching
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stochastic volatility
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characteristic function
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