Pricing Variance Swaps on Time-Changed Markov Processes.

Peter Carr Roger Lee Matthew Lorig

Published in: SIAM J. Financial Math. (2021)

Keyphrases

markov processes
continuous time markov chains
markov process
markov chain
variance estimator
stochastic processes
non stationary
continuous time bayesian networks
random fields
stochastic process
machine learning
information extraction
steady state
numerically stable