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

Yu YangShican LiuYonghong WuBenchawan Wiwatanapataphee
Published in: J. Comput. Appl. Math. (2021)
Keyphrases
  • neural network model
  • stochastic model
  • special case
  • probabilistic model
  • maximum likelihood