Pricing variance swaps under stochastic volatility and stochastic interest rate
In this paper, we investigate the effects of imposing stochastic interest rate driven by the Cox–Ingersoll–Ross process along with the Heston stochastic volatility model for pricing variance swaps with discrete sampling times. A dimension reduction mechanism based on the framework of Little and Pant...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | en |
| Published: |
Elsevier B.V.
2016
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/18314/1/AMC%20277%20%202016%2072%E2%80%9381.pdf https://repo.uum.edu.my/id/eprint/18314/ http://doi.org/10.1016/j.amc.2015.12.027 |
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