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]
@article{YangLWW21,
title = {Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion},
author = {Yu Yang and Shican Liu and Yonghong Wu and Benchawan Wiwatanapataphee},
year = {2021},
doi = {10.1016/j.cam.2020.113277},
url = {https://doi.org/10.1016/j.cam.2020.113277},
researchr = {https://researchr.org/publication/YangLWW21},
cites = {0},
citedby = {0},
journal = {J. Computational Applied Mathematics},
volume = {393},
pages = {113277},
}