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