Pricing of volatility derivatives in a Heston–CIR model with Markov-modulated jump diffusion-Reference-Cited by-同舟云学术

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Pricing of volatility derivatives in a Heston–CIR model with Markov-modulated jump diffusion

Published:2021-09 Issue: Volume:393 Page:113277
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Yang Yu,Liu Shican,Wu Yonghong,Wiwatanapataphee Benchawan

Funder

Zhongnan University of Economics and Law

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference36 articles.

1. The log contract;Neuberger;J. Portf. Manag.,1994

2. Model art;Dupire;Risk,1993

3. Volatility derivatives;Carr;Annu. Rev. Financ. Econ.,2009

4. Introduction to variance swaps;Bossu;Wilmott Mag.,2006

5. The term structure of variance swaps and risk Premia[J]. Social ence Electronic Publishing;Yacine;Soc. ence Electron. Publ.,2019

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