Pricing variance swaps under stochastic volatility and stochastic interest rate

DOI10.1016/j.amc.2015.12.027zbMath1410.91438OpenAlexW2255941286MaRDI QIDQ671068

Teh Raihana Nazirah Roslan, Jiling Cao, Guang-Hua Lian

Publication date: 20 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10292/9825

zbMATH Keywords

stochastic volatilitystochastic interest raterealized variancegeneralized Fourier transformvariance swapHeston-CIR hybrid model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work

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