Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modeling framework extends the Heston stochastic volatility model by including the Cox-Ingersoll-Ross (CIR) sto...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | en |
| Published: |
Springer Nature Switzerland AG
2018
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/26233/1/MCAP%2020%204%202018%201359%201379.pdf https://repo.uum.edu.my/id/eprint/26233/ http://doi.org/10.1007/s11009-018-9624-5 |
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