Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344)
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scientific article
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| English | Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching |
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Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (English)
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26 April 2019
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Heston-CIR hybrid model
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regime-switching
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realized variance
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stochastic interest rate
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stochastic volatility
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variance swap
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0.9810705
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0.96772075
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0.9458443
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0.9448244
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0.93782544
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0.93430614
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0.9283174
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