Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering

DOI10.1155/2010/537571zbMath1202.91355OpenAlexW2076237346WikidataQ58653143 ScholiaQ58653143MaRDI QIDQ613824

Anatoliy Swishchuk, Raimondo Manca

Publication date: 23 December 2010

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/228952

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Generalized autoregressive conditional heteroscedasticity
• Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
• Complete Models with Stochastic Volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets
• Option pricing: A simplified approach
• Mathematical Finance
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