Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching

DOI10.1007/s11009-018-9624-5zbMath1411.91588arXiv1603.08289OpenAlexW2964125447WikidataQ130154929 ScholiaQ130154929MaRDI QIDQ1739344

Teh Raihana Nazirah Roslan, Jiling Cao, Wen-Jun Zhang

Publication date: 26 April 2019

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.08289

zbMATH Keywords

stochastic volatilitystochastic interest rateregime-switchingrealized variancevariance swapHeston-CIR hybrid model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL ⋮ Short maturity conditional Asian options in local volatility models ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ Pricing variance swaps under hybrid CEV and stochastic volatility

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