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...

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Main Authors: Roslan, Teh Raihana Nazirah, Cao, Jiling, Zhang, Wenjun
格式: Conference or Workshop Item
出版: 2017
在線閱讀:http://repo.uum.edu.my/24891/
http://doi.org/10.1063/1.5012177
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