Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion

Yu Yang, Shican Liu, Yonghong Wu, Benchawan Wiwatanapataphee. Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion. J. Computational Applied Mathematics, 393:113277, 2021. [doi]

Authors

Yu Yang

This author has not been identified. Look up 'Yu Yang' in Google

Shican Liu

This author has not been identified. Look up 'Shican Liu' in Google

Yonghong Wu

This author has not been identified. Look up 'Yonghong Wu' in Google

Benchawan Wiwatanapataphee

This author has not been identified. Look up 'Benchawan Wiwatanapataphee' in Google