Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (Q3445890)
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scientific article; zbMATH DE number 5162263
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| English | Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching |
scientific article; zbMATH DE number 5162263 |
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Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (English)
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7 June 2007
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regime switching Esscher transform
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Markov-modulated Heston's SV model
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observable Markov chain process
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volatility swaps
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variance swaps
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regime switching OU-process
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0.8931352496147156
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0.86921226978302
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0.8488356471061707
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0.8453869223594666
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