Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion

DOI10.1016/J.CAM.2020.113277zbMath1471.91586OpenAlexW3134862230MaRDI QIDQ2020534

Shican Liu, Benchawan Wiwatanapataphee, Yu Yang, Yong-Hong Wu

Publication date: 23 April 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113277

zbMATH Keywords

stochastic volatilitycharacteristic functionstochastic interest ratejump diffusionvariance swapMarkov regime switching

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

Heston-GA hybrid option pricing model based on ResNet50

Cites Work

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