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zbMath1259.91085MaRDI QIDQ3108077

Anatoliy Swishchuk

Publication date: 28 December 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

incomplete market minimal martingale measure residual risk Dupire formula variance and volatility swaps risk-minimizing strategy Semi-Markov volatility

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering ⋮ A semi-martingale representation for a semi-Markov chain with application to finance

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