Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching (Q2164576)
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scientific article; zbMATH DE number 7571817
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| English | Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching |
scientific article; zbMATH DE number 7571817 |
Statements
Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching (English)
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15 August 2022
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two-factor Heston-CIR hybrid model
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variance and volatility swaps
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regime switching
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analytical
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convergence
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