Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
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Cited in
(70)- How should a local regime-switching model be calibrated?
- On volatility swaps for stock market forecast: application example CAC 40 French Index
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
- Optimal dividend distribution under Markov regime switching
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- Pricing credit derivatives in a Markov-modulated reduced-form model
- Stochastic volatility models and the pricing of VIX options
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- HARA utility maximization in a Markov-switching bond-stock market
- Regime-switching stochastic volatility model: estimation and calibration to VIX options
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- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
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- Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility
- Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering
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- Utility-based indifference pricing in regime-switching models
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- An approach for regime-switching stochastic control problems with memory and terminal conditions
- Pricing vulnerable extremum options in a Markov regime-switching Heston's model and stochastic interest rate
- Option pricing in a sentiment-biased stochastic volatility model
- Variance swaps pricing under the regime-switching jump-diffusion model
- Optimal investment in multidimensional Markov-modulated affine models
- Pricing forward-start variance swaps with stochastic volatility
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