Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering

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Author

Swishchuk, Anatoliy
Manca, Raimondo

Accessioned

2011-06-14T15:51:04Z

Available

2011-06-14T15:51:04Z

Issued

2010-10-14

Type

journal article

Metadata

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Citation

Anatoliy Swishchuk and Raimondo Manca, “Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering,” Mathematical Problems in Engineering, vol. 2010, Article ID 537571, 17 pages, 2010. doi:10.1155/2010/537571.

Corporate

University of Calgary

Faculty

Science

Url

http://www.hindawi.com/journals/

Publisher

Hindawi Publishing Corporation

Doi

http://dx.doi.org/10.11575/PRISM/35069

Uri

http://hdl.handle.net/1880/48616

Collections

• Science Research & Publications