Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

DOI10.1080/13504860600659222zbMath1281.91161OpenAlexW2030923857MaRDI QIDQ3445890

Robert J. Elliott, Leunglung Chan, Tak Kuen Siu

Publication date: 7 June 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600659222

zbMATH Keywords

variance swapsvolatility swapsregime switching Esscher transformMarkov-modulated Heston's SV modelobservable Markov chain processregime switching OU-process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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