A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897)
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scientific article; zbMATH DE number 6682639
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| English | A superconvergent partial differential equation approach to price variance swaps under regime switching models |
scientific article; zbMATH DE number 6682639 |
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A superconvergent partial differential equation approach to price variance swaps under regime switching models (English)
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9 February 2017
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variance swaps
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finite difference
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exponential time integration
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Merton's jump-diffusion model
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stochastic volatility model
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regime switching models
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0.8103958964347839
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0.797494649887085
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0.7873525023460388
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0.7809939384460449
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