Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering.

Swishchuk, Anatoliy; Manca, Raimondo

Mathematical Problems in Engineering (2010)

  • Volume: 2010, page Article ID 537571, 17 p.-Article ID 537571, 17 p.
  • ISSN: 1024-123X

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Swishchuk, Anatoliy, and Manca, Raimondo. "Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering.." Mathematical Problems in Engineering 2010 (2010): Article ID 537571, 17 p.-Article ID 537571, 17 p.. <http://eudml.org/doc/228952>.

@article{Swishchuk2010,
author = {Swishchuk, Anatoliy, Manca, Raimondo},
journal = {Mathematical Problems in Engineering},
language = {eng},
pages = {Article ID 537571, 17 p.-Article ID 537571, 17 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering.},
url = {http://eudml.org/doc/228952},
volume = {2010},
year = {2010},
}

TY - JOUR
AU - Swishchuk, Anatoliy
AU - Manca, Raimondo
TI - Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering.
JO - Mathematical Problems in Engineering
PY - 2010
PB - Hindawi Publishing Corporation, New York
VL - 2010
SP - Article ID 537571, 17 p.
EP - Article ID 537571, 17 p.
LA - eng
UR - http://eudml.org/doc/228952
ER -

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