VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING
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Publication:5384677
DOI10.1142/S0219024919500092zbMath1411.91557MaRDI QIDQ5384677
Publication date: 24 June 2019
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024919500092
Markov chains; stochastic volatility; regime switching; variance swaps; volatility swaps; Heston model; CIR model
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