Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching

DOI10.1016/J.PHYSA.2019.122714OpenAlexW2974511560MaRDI QIDQ2164576FDOQ2164576

Authors: Sha Lin, Xin-Jiang He 

Publication date: 15 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/eispapers1/3208

zbMATH Keywords

regime switchingconvergenceanalyticaltwo-factor Heston-CIR hybrid modelvariance and volatility swaps

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• The pricing of options and corporate liabilities
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• Title not available (Why is that?)
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
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• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
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• How should a local regime-switching model be calibrated?
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Cited In (12)

• Title not available (Why is that?)
• Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
• Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
• Variance and volatility swaps valuations with the stochastic liquidity risk
• Variance swaps under multiscale stochastic volatility of volatility
• Pricing variance swaps with stochastic volatility under jump-diffusion
• Pricing derivatives in a regime switching market with time inhomogenous volatility
• Advanced strategies of portfolio management in the Heston market model
• On the pricing of capped volatility swaps using machine learning techniques
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
• Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
• An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility

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