Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching-Reference-Cited by-同舟云学术

Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate with Regime-Switching

Published:2018-03-06 Issue:4 Volume:20 Page:1359-1379
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Cao Jiling,Roslan Teh Raihana Nazirah,Zhang Wenjun^ORCID

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s11009-018-9624-5/fulltext.html

Reference27 articles.

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2. Allen P, Einchcomb S, Granger N (2006) Variance swaps. Investment Strategies 28: European Equity Derivatives Research, J.P. Morgan Securities Ltd., pp 1–104

3. Bernard C, Cui Z (2014) Prices and asymptotics for discrete variance swaps. Appl Math Finance 21(2):140–173

4. Brigo D, Mercurio F (2006) Interest rate models - theory and practice: with smile inflation and credit. Springer, New York

5. Broadie M, Jain A (2008) Pricing and hedging volatility derivatives. J Derivatives 15:7–24

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