Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching
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Publication:2164576
DOI10.1016/j.physa.2019.122714OpenAlexW2974511560MaRDI QIDQ2164576
Publication date: 15 August 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/eispapers1/3208
convergenceregime switchinganalyticaltwo-factor Heston-CIR hybrid modelvariance and volatility swaps
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Valuation of European crude oil options with co-jump diffusions and stochastic interest rate ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ Advanced strategies of portfolio management in the Heston market model
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