EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
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Publication:5384679
DOI10.1142/S021902491950016XzbMATH Open1411.91583OpenAlexW2939722352MaRDI QIDQ5384679FDOQ5384679
Authors: Ben-Zhang Yang, Jia Yue, Nan-Jing Huang 
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/s021902491950016x
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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- Retracted article: A generalized real option pricing method of R\&D investments: jump diffusion and external competition
- Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
- Variation and share-weighted variation swaps on time-changed Lévy processes
- Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
- 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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