Pricing volatility swaps in the Heston's stochastic volatility model with regime switching : a saddlepoint approximation method
Mengzhe Zhang and Leunglung Chan
| Year of publication: |
December 2016
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|---|---|
| Authors: | Zhang, Mengzhe ; Chan, Leunglung |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 4, p. 1-20
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| Subject: | Volatility swap | Markov-modulated geometric Brownian motion | regime switching model | saddlepoint approximation method | stochastic volatility model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Swap | 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/S2424786316500304 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673092