Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
Xin-Jiang He and Song-Ping Zhu
| Year of publication: |
2019
|
|---|---|
| Authors: | He, Xin-Jiang ; Zhu, Song-Ping |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 4, p. 1-19
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| Subject: | Variance swaps | volatility swaps | stochastic volatility | regime switching | Heston model | CIR model | Markov chains | Volatilität | Volatility | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Swap | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500092 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012030900