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Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching.

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Title: Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching.
Authors: Cao, Jiling1 jiling.cao@aut.ac.nz, Roslan, Teh Raihana Nazirah1,2 raihana.roslan@aut.ac.nz, Zhang, Wenjun1 wenjun.zhang@aut.ac.nz
Source: Methodology & Computing in Applied Probability. Dec2018, Vol. 20 Issue 4, p1359-1379. 21p.
Database: Mathematics Source
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  Data: <searchLink fieldCode="JN" term="%22Methodology+%26+Computing+in+Applied+Probability%22">Methodology & Computing in Applied Probability</searchLink>. Dec2018, Vol. 20 Issue 4, p1359-1379. 21p.
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      – Type: doi
        Value: 10.1007/s11009-018-9624-5
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      – Code: eng
        Text: English
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        StartPage: 1359
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      – TitleFull: Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching.
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            NameFull: Cao, Jiling
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            NameFull: Roslan, Teh Raihana Nazirah
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              Text: Dec2018
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              Y: 2018
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              Value: 20
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            – TitleFull: Methodology & Computing in Applied Probability
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