Variance swaps pricing under the regime-switching jump-diffusion model

DOI10.1214/24-BJPS618MaRDI QIDQ7009378zbMATH OpenFDO

Authors Anqi Zou, Jiajie Wang, Chi-Ye Wu

Publication date 20 March 2025

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/brazilian-journal-of-probability-and-statistics/volume-38/issue-4/Variance-swaps-pricing-under-the-regime-switching-jump-diffusion-model/10.1214/24-BJPS618.full

zbMATH Keywords

Esscher transformjump-diffusion modelmartingale measuresmean-reverting Gaussian modelvariance swaps

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80)

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