Pricing generalized variance swaps under the Heston model with stochastic interest rates

DOI10.1016/J.MATCOM.2019.07.013MaRDI QIDQ1997863zbMATH OpenOpenAlexFDO

Authors S. W. Kim, Jeong-Hoon Kim

Publication date 6 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2019.07.013

zbMATH Keywords

discounted characteristic functiongeneralized variance swapHeston-CIR modelMonte-Carlo simulationprojection techniques

Mathematics Subject Classification ID

Markov processes (60Jxx) Actuarial science and mathematical finance (91Gxx)

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Cites work

• A closed-form exact solution for pricing variance swaps with stochastic volatility
• A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• An evaluation of some popular investment strategies under stochastic interest rates
• Analytic solutions for variance swaps with double-mean-reverting volatility
• Closed form pricing formulas for discretely sampled generalized variance swaps
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• On the Heston model with stochastic interest rates
• Pricing variance swaps under stochastic volatility and stochastic interest rate
• Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
• Stochastic differential equations. An introduction with applications.
• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Volatility Investing with Variance Swaps

Cited in

(9)

• Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
• An extension of Heston's SV model to stochastic interest rates
• Swap rate variance swaps
• Pricing and hedging contingent claims using variance and higher order moment swaps
• Prices and asymptotics for discrete variance swaps
• Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates
• A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL
• An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility
• Pricing variance swaps under stochastic volatility and stochastic interest rate

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