"Pricing of volatility derivatives in a Heston-CIR model with ..."

Yu Yang et al. (2021)

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DOI: 10.1016/J.CAM.2020.113277

access: closed

type: Journal Article

metadata version: 2021-05-11

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Yu Yang, Shican Liu, Yonghong Wu, Benchawan Wiwatanapataphee:
Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion. J. Comput. Appl. Math. 393: 113277 (2021)

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