Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

Author： Elliott Robert   Siu Tak Kuen   Chan Leunglung  

Publisher： Routledge Ltd

ISSN： 1466-4313

Source： Applied Mathematical Finance, Vol.14, Iss.1, 2007-02, pp. : 41-62

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

By Guo Jia-Hau   Hung Mao-Wei  

Applied Mathematical Finance, Vol. 14, Iss. 4, 2007-09 ,pp. : 339-345

Routledge Ltd

Access to resources Recommend Favorite

A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps

By Goard Joanna  

Applied Mathematical Finance, Vol. 18, Iss. 1, 2011-03 ,pp. : 51-70

Routledge Ltd

Access to resources Recommend Favorite

Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model

By Benth Fred Espen   Groth Martin   Kufakunesu Rodwell  

Applied Mathematical Finance, Vol. 14, Iss. 4, 2007-09 ,pp. : 347-363

Routledge Ltd

Access to resources Recommend Favorite

A fourth-order smoothing scheme for pricing barrier options under stochastic volatility

By Yousuf M.  

International Journal of Computer Mathematics, Vol. 86, Iss. 6, 2009-06 ,pp. : 1054-1067

Taylor & Francis Ltd

Access to resources Recommend Favorite

Exotic Geometric Average Options Pricing under Stochastic Volatility

By Tahani Nabil  

Applied Mathematical Finance, Vol. 20, Iss. 3, 2013-07 ,pp. : 229-245

Routledge Ltd

Access to resources Recommend Favorite