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. |
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| 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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