Pages that link to "Item:Q5397411"
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The following pages link to Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411):
Displayed 27 items.
- A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
- Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← links)
- A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (Q829337) (← links)
- An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching (Q1656408) (← links)
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534) (← links)
- Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← links)
- Variance and volatility swaps valuations with the stochastic liquidity risk (Q2068493) (← links)
- A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching (Q2111571) (← links)
- A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model (Q2131630) (← links)
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method (Q2155842) (← links)
- Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching (Q2164576) (← links)
- Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance (Q2167364) (← links)
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
- A regime switching fractional Black-Scholes model and European option pricing (Q2204497) (← links)
- Pricing variance swaps under hybrid CEV and stochastic volatility (Q2222171) (← links)
- Regime switching affine processes with applications to finance (Q2308173) (← links)
- Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) (← links)
- Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models (Q4682488) (← links)
- A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (Q5112597) (← links)
- The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (Q5146449) (← links)
- AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING (Q5158750) (← links)
- VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (Q5384677) (← links)
- VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (Q5890133) (← links)
- Analytically pricing European options with a two-factor Stein-Stein model (Q6126086) (← links)