Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Robert J. Elliott, Tak Kuen Siu & Leunglung Chan
| Year of publication: |
2007
|
|---|---|
| Authors: | Elliott, Robert J. ; Siu, Tak Kuen ; Chan, Leunglung |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 14.2007, 1, p. 41-62
|
| Subject: | Swap | Volatilität | Volatility | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003542938