Analytical pricing formulas for hybrid variance swaps with regime-switching

• Main Authors: Roslan, Teh Raihana Nazirah, Cao, Jiling, Zhang, Wenjun
• Format: Conference or Workshop Item
• Published: 2017
• Online Access: http://repo.uum.edu.my/24891/; http://doi.org/10.1063/1.5012177
• Institution: Universiti Utara Malaysia

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...