In this paper, we model financial markets with semi-Markov volatilities and price averaged variance, volatility, covariance and correlation swaps for these markets. Formulas used for the numerical evaluation of averaged variance, volatility, covariance and correlation swaps with semi- Markov...

The complexity of pricing variance, volatility, covariance, correlation swaps involves how to determine the dynamics of stochastic processes for underlying assets and their volatilities. In this way, sometimes it is simpler to consider of swaps pricing involving the so-called pseudo- statistics,...