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scientific article; zbMATH DE number 7178033 - MaRDI portal

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Publication:5219143

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zbMath1443.91294MaRDI QIDQ5219143

Yun Huang, Ming-hui Wang

Publication date: 6 March 2020

Full work available at URL: https://www.researchgate.net/profile/Robert_Elliott6/publication/24071737_Pricing_Volatility_Swaps_Under_Heston's_Stochastic_Volatility_Model_with_Regime_Switching/links/552cd4b40cf21acb0920f3e0.pdf

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

zbMATH Keywords

stochastic volatility characteristic function Heston model regime-switching Esscher transform

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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