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Markov-modulated Heston's SV model
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Regime switching Esscher transform
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observable Markov chain process
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regime switching OU-process
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variance swaps
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volatility swaps
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Chan, Leunglung
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Applied Mathematical Finance
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Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
Elliott, Robert
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied Mathematical Finance
14
(
2007
)
1
,
pp. 41-62
, and hence, there is more than one equivalent martingale pricing measure. The regime switching
Esscher
transform
used by …
Persistent link: https://www.econbiz.de/10005279052
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