Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching
نویسندگان
چکیده
منابع مشابه
Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-switching
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modeling framework extends the Heston stochastic volatility model by including the CIR stochastic interest rate and model parameters that switch according to a continuous-time observable Markov chain process....
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We develop a model for pricing volatility derivatives, such as variance swaps and volatility swaps under a continuous-time Markov-modulated version of the stochastic ∗The Corresponding Author: RBC Financial Group Professor of Finance, Haskayne School of Business, University of Calgary, Calgary, Alberta, Canada, T2N 1N4; Email: [email protected]; Fax: 403-770-8104; Tel: 403-220-5540 †Lecturer...
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ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2018
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-018-9624-5