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

Swishchuk, AnatoliyManca, Raimondo2011-06-142011-06-142010-10-14Anatoliy 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.http://hdl.handle.net/1880/48616Article deposited according to Hindawi Publishing Corporation policy in SHERPA/RoMEO, June 14, 2011.engAttribution Non-Commercial No Derivatives 3.0 Unportedhttp://creativecommons.org/licenses/by-nc-nd/3.0/Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineeringjournal article10.11575/PRISM/35069