Pricing Variance and Volatility Swaps in a Stochastic Volatility Model with Regime Switching: Discrete Observations Case
Lian, Guang-Hua, Elliott, Robert J. R.Year:
2012
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2065064
File:
PDF, 274 KB
english, 2012