Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Yang Shen; Tak Kuen Siu
| Year of publication: |
2013
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|---|---|
| Authors: | Shen, Yang ; Siu, Tak Kuen |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 41.2013, 2, p. 180-187
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| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Swap | Zins | Interest rate | Markov-Kette | Markov chain |
| Extent: | graph. Darst. |
|---|---|
| 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/10009727702