Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model

Table 3

Prices of variance swap with regime switching and without regime switching.

Observation frequency		(regime switching)	(non-regime switching)
Quarterly	4	210.20	211.83
Monthly	12	127.32	128.22
Fortnightly	26	107.68	108.48
Weekly	52	99.54	100.30
Daily	252	93.17	93.92
Continuously		90.62	89.25