Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities
In this paper, we consider the problem of pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities. The paper’s motivation derives from the fact that in many financial markets, the inter-arrival times between book events are not independent o...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-09-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/9/162 |