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My bibliography Save this articleOptimal investment of variance-swaps in jump-diffusion market with regime-switching
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DOI: 10.1016/j.jedc.2017.08.003
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References listed on IDEAS
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Cited by:
- Ding, Kailin & Ning, Ning, 2021. "Markov chain approximation and measure change for time-inhomogeneous stochastic processes," Applied Mathematics and Computation, Elsevier, vol. 392(C).
- Weiyi Liu & Song‐Ping Zhu, 2019. "Pricing variance swaps under the Hawkes jump‐diffusion process," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 635-655, June.
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More about this item
Keywords
Jump-diffusion; Regime-switching; Variance swaps; Optimal investment;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D9 - Microeconomics - - Micro-Based Behavioral Economics
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