Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
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Publication:5397411
DOI10.1080/14697688.2012.676208zbMath1281.91160OpenAlexW1970260630MaRDI QIDQ5397411
Guang-Hua Lian, Robert J. Elliott
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.676208
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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