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 regimeswitchin" e is beine considered in this oaoer. An extension of the Heston stochastic volatiliw model structure is done bv adding the - . . . Cox-lngersoll-Row (CIR) ctochaw...

Full description

Bibliographic Details

Main Authors:	Roslan, Teh Raihana Nazirah, Cao, Jiling, Zhang, Wenjun
Format:	Article
Published:	2017
Subjects:	HB Economic Theory
Online Access:	https://repo.uum.edu.my/id/eprint/24959/
Tags:	Add Tag No Tags, Be the first to tag this record!