Variance and volatility swaps under a two-factor stochastic volatility model with regime switching

DOI10.1142/S0219024919500092MaRDI QIDQ5384677zbMATH OpenOpenAlexFDO

Authors Xin-Jiang He, Song-Ping Zhu

Publication date 24 June 2019

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024919500092

zbMATH Keywords

CIR modelHeston modelMarkov chainsregime switchingstochastic volatilityvariance swapsvolatility swaps

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form exact solution for pricing variance swaps with stochastic volatility
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
• Analysis of time series subject to changes in regime
• Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
• Analytically pricing volatility swaps under stochastic volatility
• COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES
• GARCH and volatility swaps
• How should a local regime-switching model be calibrated?
• Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay
• On the pricing and hedging of volatility derivatives
• Option pricing in a regime-switching model using the fast Fourier transform
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Pricing options under two-factor Markov-modulated stochastic volatility models
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case

Cited in

(17)

• Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
• Variance and volatility swaps valuations with the stochastic liquidity risk
• Variance swaps under multiscale stochastic volatility of volatility
• Modeling and pricing of swaps for financial and energy markets with stochastic volatilities
• Variance swap with mean reversion, multifactor stochastic volatility and jumps
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• Variance swaps under the threshold Ornstein-Uhlenbeck model
• Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model
• A superconvergent partial differential equation approach to price variance swaps under regime switching models
• Pricing volatility swaps under double Heston stochastic volatility model with regime switching
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
• Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay
• VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL
• A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching
• Analytically pricing volatility options and capped/floored volatility swaps with nonlinear payoffs in discrete observation case under the Merton jump-diffusion model driven by a nonhomogeneous Poisson process

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