VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (Q5384677)

From MaRDI portal
scientific article; zbMATH DE number 7072670
Language Label Description Also known as
English
VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING
scientific article; zbMATH DE number 7072670

    Statements

    VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (English)
    0 references
    0 references
    0 references
    24 June 2019
    0 references
    variance swaps
    0 references
    volatility swaps
    0 references
    stochastic volatility
    0 references
    regime switching
    0 references
    Heston model
    0 references
    CIR model
    0 references
    Markov chains
    0 references

    Identifiers