"Pricing variance swaps under a stochastic interest rate and volatility ..."

Yang Shen, Tak Kuen Siu (2013)

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DOI: 10.1016/J.ORL.2012.12.008

access: closed

type: Journal Article

metadata version: 2018-11-30

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Yang Shen, Tak Kuen Siu:
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. Oper. Res. Lett. 41(2): 180-187 (2013)

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