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Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering
Joint Authors
Manca, Raimondo
Swishchuk, Anatoliy
Source
Mathematical Problems in Engineering
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-11-21
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
We consider a semi-Markov modulated security market consisting of a riskless asset or bond with constant interest rate and risky asset or stock, whose dynamics follow gemoetric Brownian motion with volatility that depends on semi-Markov process.
Two cases for semi-Markov volatilities are studied: local current and local semi-Markov volatilities.
Using the martingale characterization of semi-Markov processes, we find the minimal martingale measure for this incomplete market.
Then we model and price variance and volatility swaps for local semi-Markov stochastic volatilities.
American Psychological Association (APA)
Swishchuk, Anatoliy& Manca, Raimondo. 2010. Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering. Mathematical Problems in Engineering،Vol. 2010, no. 2010, pp.1-17.
https://search.emarefa.net/detail/BIM-479632
Modern Language Association (MLA)
Swishchuk, Anatoliy& Manca, Raimondo. Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering. Mathematical Problems in Engineering No. 2010 (2010), pp.1-17.
https://search.emarefa.net/detail/BIM-479632
American Medical Association (AMA)
Swishchuk, Anatoliy& Manca, Raimondo. Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering. Mathematical Problems in Engineering. 2010. Vol. 2010, no. 2010, pp.1-17.
https://search.emarefa.net/detail/BIM-479632
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-479632