EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
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Cites work
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Cited in
(15)- Retracted article: A generalized real option pricing method of R\&D investments: jump diffusion and external competition
- Variation and share-weighted variation swaps on time-changed Lévy processes
- Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
- Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
- Variance and volatility swaps valuations with the stochastic liquidity risk
- Variance swap pricing under hybrid jump model
- Robust portfolio optimization with multi-factor stochastic volatility
- Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
- Pricing equity swaps in an economy with jumps
- Pricing variance swaps for stochastic volatilities with delay and jumps
- Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- Variance swaps on defaultable assets and market implied time-changes
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