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Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets - MaRDI portal

Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets (Q5424402)

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scientific article; zbMATH DE number 5208469
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Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets
scientific article; zbMATH DE number 5208469

    Statements

    title
    Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets (English)
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    author
    Robert J. Elliott
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    Anatoliy Swishchuk
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    publication date
    5 November 2007
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    Identifiers

    zbMATH DE Number
    5208469
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    OpenAlex ID
    W159368019
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