Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion |
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Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (English)
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23 April 2021
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variance swap
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stochastic volatility
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stochastic interest rate
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Markov regime switching
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jump diffusion
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characteristic function
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