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Zbl 1144.91329
Swishchuk, Anatoliy
Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay. (English)
[J] Can. Appl. Math. Q. 14, No. 4, 439-467 (2006). ISSN 1073-1849

The paper considers two and three factor stochastic models with and without a delay terms. Pricing of the expected volatility in each case is considered and presented. In some of the cases, only approximate formulae provided. The models used contain parameters which are not clearly defined. Numerical illustrations are presented using data from STP60 Canada Index.
[P. W. A. Dayananda (St. Paul)]

MSC 2000:: *91B28 Finance etc.
34K50 Stochastic delay equations
60H10 Stochastic ordinary differential equations
60H30 Appl. of stochastic analysis
91B70 Stochastic models

Keywords: none used

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