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Volatility derivatives in market models with jumps

Lo, Harry; Mijatović, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193

Persistent link: https://www.econbiz.de/10009407653

A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching

He, Xin-Jiang; Lin, Sha - In: Financial innovation : FIN 10 (2024), pp. 1-23

of variance swap pricing, where Fourier inversion or fast Fourier transform must be performed to obtain the final results … regime switching have a significant influence on variance swap prices. …

Persistent link: https://www.econbiz.de/10015361659

Time series models for credit default swap premiums

Eifert, Márton - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 21-44

Persistent link: https://www.econbiz.de/10011380101

The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift

Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84

Persistent link: https://www.econbiz.de/10010505392

Pricing volatility swaps in the Heston's stochastic volatility model with regime switching : a saddlepoint approximation method

Zhang, Mengzhe; Chan, Leunglung - In: International journal of financial engineering 3 (2016) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10011673092

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187

Persistent link: https://www.econbiz.de/10009727702

Optimal investment of variance-swaps in jump-diffusion market with regime-switching

Bo, Lijun; Tang, Dan; Wang, Yongjin - In: Journal of economic dynamics & control 83 (2017), pp. 175-197

Persistent link: https://www.econbiz.de/10011915585

A general framework for time-changed Markov processes and applications

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800

Persistent link: https://www.econbiz.de/10011987591

Variance and volatility swaps under a two-factor stochastic volatility model with regime switching

He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10012030900

Tests of the Stochastic Volatility with Jumps Model Driven by Moment Swaps

Doffou, Ako - 2019

in markets extended to contain swap contracts whose payoffs depend on the realized higher moments of the state variable …

Persistent link: https://www.econbiz.de/10012859616