Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
From MaRDI portal
Publication:1949684
Recommendations
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
- Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- Variance swap pricing under Markov-modulated jump-diffusion model
- Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate
Cited in
(32)- Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
- Valuation of correlation options under a stochastic interest rate model with regime switching
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion
- Stochastic pricing formulation for hybrid equity warrants
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
- A closed-form formula for pricing variance swaps on commodities
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
- Variance swap pricing under Markov-modulated jump-diffusion model
- A probabilistic approach to the stochastic fluid cash management balance problem
- Modeling and pricing of swaps for financial and energy markets with stochastic volatilities
- scientific article; zbMATH DE number 7295314 (Why is no real title available?)
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- Variance swaps under the threshold Ornstein-Uhlenbeck model
- Pricing derivatives in a regime switching market with time inhomogenous volatility
- Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates
- Pricing and hedging equity-indexed annuities via local risk-minimization
- A superconvergent partial differential equation approach to price variance swaps under regime switching models
- A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps
- The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
- Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
- The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Valuation and optimal strategies for American options under a Markovian regime-switching model
- Pricing exchange options under hybrid stochastic volatility and interest rate models
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- Time-consistent strategies for DC pension plans with the return of premiums clauses in stochastic environments
This page was built for publication: Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1949684)