Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities
Year of publication: |
2023
|
---|---|
Authors: | Sviščuk, Anatolij ; Franco, Sebastian |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 9, Art.-No. 162, p. 1-22
|
Subject: | volatility swaps | variance swaps | covariance swaps | correlation swaps | semi-Markovvolatility | averaged swap pricing | Swap | Volatilität | Volatility | Korrelation | Correlation | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance |
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