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Generalization of Black-76 Formula: Markov-Modulated Volatility

In: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities

Author

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  • Anatoliy Swishchuk

    (University of Calgary, Canada)

Abstract

The following sections are included:IntroductionGeneralization of Black-76 Formula with Markov-Modulated VolatilityBlack-76 FormulaPricing Options for Markov-Modulated MarketsProof of Theorem 20.3Proof of Theorem 20.5Numerical Results for Synthetic DataCase Without JumpsCase with JumpsApplications: Data from NordpoolSummaryBibliography

Suggested Citation

  • Anatoliy Swishchuk, 2013. "Generalization of Black-76 Formula: Markov-Modulated Volatility," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 20, pages 285-300, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814440134_0020
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