Pricing variance swaps in a stochastic volatility model with regime switching-discrete sampling case
This study presents a set of closed-form exact solutions for pricing discretely sampled variance swaps and volatility swaps, based on the Heston stochastic volatility model with regime switching. In comparison with all the previous studies in the literature, this research, which obtains closed-form...
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| Format: | Others |
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University of Adelaide/University of South Australia,
2011-08-12T00:31:22Z.
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| Online Access: | Get fulltext |