Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
type: Item
instance of: scholarly article
title: Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
zbMATH Open document ID: 1264.91129
author: Yang Shen
author: Tak Kuen Siu
published in: Operations Research Letters
publication date: 2013-05-14T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91B25
zbMATH DE Number: 6162989
zbMATH Keywords: Schöbel-Zhu-Hull-White model
zbMATH Keywords: regime-switching
zbMATH Keywords: forward measures
zbMATH Keywords: variance swaps
MaRDI profile type: Publication
full work available at URL: j.orl.2012.12.008
OpenAlex ID: W2042752294
DOI: 10.1016/J.ORL.2012.12.008
description: scientific article; zbMATH DE number 6162989