Research Article
Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
Algorithm 1
Algorithm of computing the fair strike price using our pricing formula.
(1) | Initialization | (2) | for AF in do | (3) | | (4) for k indo (the loop here is for calculating ) | (5) | (6) | if k = = 1 then | (7) | Calculate by (55) | (8) | else | (9) | Calculate by (56) | (10) end | (11) | | (12) | (13) | end | (14) end |
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