Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534)
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scientific article; zbMATH DE number 7337463
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| English | Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion |
scientific article; zbMATH DE number 7337463 |
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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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0.8853680491447449
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0.8667469024658203
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0.8516412973403931
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0.8397921323776245
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