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Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

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References

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2007

Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

128 cited

Cited by

2023Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching33 cited
2014Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate25 cited