Elliott, Robert; Siu, Tak Kuen; Chan, Leunglung - In: Applied Mathematical Finance 14 (2007) 1, pp. 41-62
A model is developed for pricing volatility derivatives, such as variance swaps and volatility swaps under a continuous-time Markov-modulated version of the stochastic volatility (SV) model developed by Heston. In particular, it is supposed that the parameters of this version of Heston's SV...