Variance swap pricing under Markov-modulated jump-diffusion model

DOI10.1155/2021/9814605zbMath1465.91117OpenAlexW3118675133MaRDI QIDQ2657462

Shican Liu, Yu Yang, Hu Zhang, Yong-Hong Wu

Publication date: 12 March 2021

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/9814605

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on general state spaces (60J76)

Cites Work

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