The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure

DOI10.4134/JKMS.j190616zbMath1457.91370arXiv1610.09714OpenAlexW3082002757MaRDI QIDQ5146449

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

Publication date: 25 January 2021

Full work available at URL: https://arxiv.org/abs/1610.09714

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Related Items (3)

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL ⋮ Stochastic pricing formulation for hybrid equity warrants ⋮ EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE

Cites Work

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• Prices and Asymptotics for Discrete Variance Swaps
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
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