Analytically pricing volatility swaps under stochastic volatility.
Song-Ping ZhuGuang-Hua LianPublished in: J. Comput. Appl. Math. (2015)
Keyphrases
- financial markets
- stock price
- stock index futures
- stock market
- garch model
- chinese stock market
- financial crisis
- stock returns
- exchange rate
- convertible bonds
- turning points
- option pricing
- stock exchange
- stock trading
- data mining
- stochastic optimization
- stochastic process
- monte carlo
- hidden markov models
- artificial neural networks