Pages that link to "Item:Q1949684"

The following pages link to Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching (Q1949684):

Displaying 25 items.

• Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
• A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
• Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← links)
• Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons (Q1643167) (← links)
• Valuation of correlation options under a stochastic interest rate model with regime switching (Q1690474) (← links)
• Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344) (← links)
• Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534) (← links)
• Stochastic pricing formulation for hybrid equity warrants (Q2129745) (← links)
• A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
• A closed-form formula for pricing variance swaps on commodities (Q2360087) (← links)
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (Q2423287) (← links)
• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (Q2424929) (← links)
• Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model (Q2514669) (← links)
• A probabilistic approach to the stochastic fluid cash management balance problem (Q2673792) (← links)
• Modeling and pricing of swaps for financial and energy markets with stochastic volatilities (Q2857276) (← links)
• (Q3385796) (← links)
• Pricing derivatives in a regime switching market with time inhomogenous volatility (Q4685700) (← links)
• Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates (Q5001185) (← links)
• Pricing and hedging equity-indexed annuities via local risk-minimization (Q5078428) (← links)
• A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps (Q5093699) (← links)
• The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (Q5146449) (← links)
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
• The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives (Q5879356) (← links)
• Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments (Q6100430) (← links)
• Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model (Q6144094) (← links)