A superconvergent partial differential equation approach to price variance swaps under regime switching models
DOI10.1016/J.CAM.2016.09.001zbMath1356.91097OpenAlexW2522367043WikidataQ115359814 ScholiaQ115359814MaRDI QIDQ507897
Désiré Yannick Tangman, Mehzabeen Jumanah Dilloo
Publication date: 9 February 2017
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.2016.09.001
finite differencevariance swapsexponential time integrationstochastic volatility modelregime switching modelsMerton's jump-diffusion model
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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