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]

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