Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

DOI10.1016/j.orl.2012.12.008zbMath1264.91129OpenAlexW2042752294MaRDI QIDQ1949684

Tak Kuen Siu, Yang Shen

Publication date: 14 May 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.12.008

zbMATH Keywords

variance swapsregime-switchingforward measuresSchöbel-Zhu-Hull-White model

Mathematics Subject Classification ID

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