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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- An investigation of model risk in a market with jumps and stochastic volatility
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Closed form pricing formulas for discretely sampled generalized variance swaps
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
- Consistent pricing of VIX and equity derivatives with the 4/2 stochastic volatility plus jumps model
- Derivative pricing with Wishart multivariate stochastic volatility
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- On the Heston model with stochastic interest rates
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- Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- SOLVABLE AFFINE TERM STRUCTURE MODELS
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- The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
- The Variance Gamma Process and Option Pricing
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Cited in
(15)- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
- Variance and volatility swaps valuations with the stochastic liquidity risk
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
- Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
- Variance swaps on defaultable assets and market implied time-changes
- Pricing equity swaps in an economy with jumps
- Variation and share-weighted variation swaps on time-changed Lévy processes
- Variance swap pricing under hybrid jump model
- Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
- Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
- Retracted article: A generalized real option pricing method of R\&D investments: jump diffusion and external competition
- Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
- Pricing variance swaps for stochastic volatilities with delay and jumps
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- Robust portfolio optimization with multi-factor stochastic volatility
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