表紙画像

Analytical pricing formulas for hybrid variance swaps with regime-switching

The problem of pricing discretely-sampled variance swaps under stochastic volatility, stochastic interest rate and regime-switching is being considered in this paper. An extension of the Heston stochastic volatility model structure is done by adding the Cox-Ingersoll-Ross (CIR) stochastic interest r...

保存先:

書誌詳細
主要な著者:	Roslan, Teh Raihana Nazirah, Cao, Jiling, Zhang, Wenjun
フォーマット:	Conference or Workshop Item
出版事項:	2017
オンライン･アクセス:	http://repo.uum.edu.my/24891/ http://doi.org/10.1063/1.5012177
タグ:	タグ追加タグなし, このレコードへの初めてのタグを付けませんか!

類似資料

Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching
著者:: Roslan, Teh Raihana Nazirah, 等
出版事項: (2017)

Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
著者:: Cao, Jiling, 等
出版事項: (2018)

Valuation of discretely-sampled variance swaps under correlated stochastic volatility and stochastic interest rates
著者:: Roslan, Teh Raihana Nazirah, 等
出版事項: (2014)

The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
著者:: Jiling, Cao, 等
出版事項: (2020)

Pricing variance swaps under stochastic volatility and stochastic interest rate
著者:: Cao, Jiling, 等
出版事項: (2016)

A Stochastic Hybrid Model for Pricing Forward-Start Variance Swaps
著者:: Roslan, Teh Raihana Nazirah
出版事項: (2017)

A stochastic hybrid model for pricing forward-start variance swaps
著者:: Roslan, Teh Raihana Nazirah
出版事項: (2017)

On the pricing of forward-start variance swaps with stochastic volatility and stochastic interest rate
著者:: Roslan, Teh Raihana Nazirah
出版事項: (2017)

Hybrid equity warrants pricing formulation under stochastic dynamics
著者:: Roslan, Teh Raihana Nazirah, 等
出版事項: (2020)

Dynamic Pricing Formulation for Hybrid Equity Warrants (S/O 14193)
著者:: Roslan, Teh Raihana Nazirah, 等

Snake-swapping for better insight
著者:: Times Two, Malaysia
出版事項: (1988)

Modeling the price of hybrid equity warrants under stochastic volatility and interest rate
著者:: Roslan, Teh Raihana Nazirah, 等
出版事項: (2020)

Building fuzzy variance gamma option pricing models with jump levy process
著者:: Zhang, H., 等
出版事項: (2018)

Building fuzzy variance gamma option pricing models with jump levy process
著者:: Zhang, H., 等
出版事項: (2018)

Improved flower pollination optimization algorithm based on swap operator and dynamic switch probability selection
著者:: Iqbal, Muhammad
出版事項: (2023)

PAS and Umno in role swap of sorts
著者:: Ian Mcintyre
出版事項: (2008)

The determinant of exchange rate regime, timing of regime switch and the cost of abandonment
著者:: Sam, Yet Huat
出版事項: (2016)

Deepfake on face and expression swap: a review.
著者:: Waseem, Saima, 等
出版事項: (2023)

The relationship between price of credit default swap contracts and economy performance : empirical evidence in Malaysia / Amar Zulkifli
著者:: Zulkifli, Amar
出版事項: (2017)

The Effectiveness Of Motion Graphic In Learning Chinese Character Stroke Order Through Cognitive Load Theory Assessment
著者:: Cao, Wenjun
出版事項: (2023)

Pricing formula for power options with jump-diffusion
著者:: Ibrahim, Siti Nur Iqmal, 等
出版事項: (2016)

Clustering swap prediction for image-text pre-training
著者:: Fayou, Sun, 等
出版事項: (2024)

The effect of regime switching policy rules on economic growth
著者:: Norlin Khalid,, 等
出版事項: (2013)

Modelling exchange rates using regime switching models
著者:: Mohd Tahir Ismail,, 等
出版事項: (2006)

Computational efficiency of generalized variance and vector variance
著者:: Sharif, Shamshuritawati, 等
出版事項: (2014)

Computational Efficiency of Generalized Variance and Vector Variance
著者:: Shamshuritawati, Sharif, 等
出版事項: (2014)

Pricing formula for power options under jump-diffusion
著者:: Ibrahim, Siti Nur Iqmal, 等
出版事項: (2015)

Malaysia Airline And Airasia share-swap deal : in Islamic perspective
著者:: Ahmad, Nazreen, 等
出版事項: (2011)

Mutation of cyclodextrin glycosyltransferase by domain swapping and site-directed mutagenesis
著者:: Kong, Wan Looi
出版事項: (2010)

Wujud campur tangan politik dalam projek land swap
著者:: Rohaniza, Idris, 等
出版事項: (2020)

Kontrak Swap Komoditi: Satu Analisis Dari Perspektif Syariah
著者:: Nadhirah, Nordin, 等
出版事項: (2014)

JOMTUKAR : AN ONLINE BARTERING SYSTEM TO BARTER, EXCHANGE AND SWAP ITEMS
著者:: MUNEERAH, HUSSIN
出版事項: (2020)

Automatic battery module swapping station for autonomous mobile robots
著者:: Lim, Jun How
出版事項: (2024)

A comprehensive literature review on pricing equity warrants using stochastic approaches
著者:: Ibrahim, Siti Zulaiha, 等
出版事項: (2020)

Randomness for asset prices constrained by price limit regimes: a Malaysian case study
著者:: Sifat, Imtiaz Mohamma, 等
出版事項: (2019)

The refugee swap deal in Malaysian Online News Reports: ideology and representation
著者:: Bolte, Stef, 等
出版事項: (2014)

Babies swapped at birth need to take biological father's name-Mufti
著者:: The Borneo Post Sabah
出版事項: (2021)

Tax effects on share prices in uniquely different tax regimes
著者:: Selamat, Aslam Izah
出版事項: (2013)

Multivariate Analysis of Variance
著者:: Ghazali, Prof. Madya Dr. Puspa Liza
出版事項: (2019)

Multivariate Analysis of Variance
著者:: Ghazali, Prof. Madya Dr. Puspa Liza
出版事項: (2019)