Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering
Date
2010-10-14
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Publisher
Hindawi Publishing Corporation
Abstract
Description
Article deposited according to Hindawi Publishing Corporation policy in SHERPA/RoMEO, June 14, 2011.
Keywords
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.