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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Published: |
2017
|
| Subjects: | |
| Online Access: | http://repo.uum.edu.my/24959/ |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Universiti Utara Malaysia |