Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching (Q1949684)
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scientific article; zbMATH DE number 6162989
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| English | Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching |
scientific article; zbMATH DE number 6162989 |
Statements
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching (English)
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14 May 2013
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Schöbel-Zhu-Hull-White model
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regime-switching
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forward measures
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variance swaps
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0.9408869743347168
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0.8883049488067627
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0.8568861484527588
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0.8548272848129272
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