Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching
The problem of pricing discretely-sampled variance swaps under stochastic volatility, stochastic interest rate and regimeswitchin" e is beine considered in this oaoer. An extension of the Heston stochastic volatiliw model structure is done bv adding the - . . . Cox-lngersoll-Row (CIR) ctochaw...
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| Format: | Article |
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2017
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