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Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching.

Sha LinXin-Jiang He
Published in: Expert Syst. Appl. (2023)
Keyphrases
  • financial markets
  • stochastic optimization
  • monte carlo
  • stock market
  • stock price
  • stochastic process
  • markov processes
  • non stationary
  • exchange rate
  • stochastic model
  • garch model
  • chinese stock market