Pricing variance swaps under stochastic volatility and stochastic interest rate
نویسندگان
چکیده
منابع مشابه
Pricing variance swaps under stochastic volatility and stochastic interest rate
In this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic volatility and stochastic interest rate. In particular, our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, whereas the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) model. We first extend the framework of [119] by ...
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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: Applied Mathematics and Computation
سال: 2016
ISSN: 0096-3003
DOI: 10.1016/j.amc.2015.12.027