Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching - Lin, Sha; He, Xin-Jiang (Expert systems with applications, 2023)
Keywords: Analytical solution; Regime switching; Stochastic volatility; Two-factor stochastic equilibrium level; Variance/volatility swaps; Stochastic volatility; Variance/volatility swaps; Analytical solution; Regime switching; Two-factor stochastic equilibrium level