Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering.
Swishchuk, Anatoliy ; Manca, Raimondo
Mathematical Problems in Engineering, Tome 2010 (2010), / Harvested from The Electronic Library of Mathematics
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Publié le : 2010-01-01
DOI : https://doi.org/10.1155/2010/537571
EUDML-ID : urn:eudml:doc:228952 
@article{05829233,
     title = {Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering.},
     journal = {Mathematical Problems in Engineering},
     volume = {2010},
     year = {2010},
     doi = {10.1155/2010/537571},
     zbl = {1202.91355},
     language = {en},
     url = {http://dml.mathdoc.fr/item/05829233}
}

Swishchuk, Anatoliy; Manca, Raimondo. Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering.. Mathematical Problems in Engineering, Tome 2010 (2010) . doi : 10.1155/2010/537571. http://gdmltest.u-ga.fr/item/05829233/