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...
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my.uum.repo.249592018-12-11T02:34:04Z http://repo.uum.edu.my/24959/ Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching Roslan, Teh Raihana Nazirah Cao, Jiling Zhang, Wenjun HB Economic Theory 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) ctochawc intereel rare modcl In add~uon[,h e parameme of the mndel are perm~rtedlo have uan<luonc followane a Markov cham proccrs whtch I, conunuous and &>.uvcrable lh~shb bnd model cdn be uced lo tllusunre ccrrlrn macmec~nomicc onditions.-for example the changing phases of business stages. The outcome of our regime-switching hybrid model is presented in lerms of analytical pricing formulas for variance swaps. 2017 Article PeerReviewed Roslan, Teh Raihana Nazirah and Cao, Jiling and Zhang, Wenjun (2017) Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching. Proceeding of the 13th IMT-GT InternationalConference on Mathematics,Statistics and Applications (ICMSA2017). 030031-1. |
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HB Economic Theory Roslan, Teh Raihana Nazirah Cao, Jiling Zhang, Wenjun Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching |
| description |
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) ctochawc intereel rare modcl In add~uon[,h e parameme of the mndel are perm~rtedlo have uan<luonc
followane a Markov cham proccrs whtch I, conunuous and &>.uvcrable lh~shb bnd model cdn be uced lo tllusunre ccrrlrn
macmec~nomicc onditions.-for example the changing phases of business stages. The outcome of our regime-switching hybrid
model is presented in lerms of analytical pricing formulas for variance swaps. |
| format |
Article |
| author |
Roslan, Teh Raihana Nazirah Cao, Jiling Zhang, Wenjun |
| author_facet |
Roslan, Teh Raihana Nazirah Cao, Jiling Zhang, Wenjun |
| author_sort |
Roslan, Teh Raihana Nazirah |
| title |
Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching |
| title_short |
Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching |
| title_full |
Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching |
| title_fullStr |
Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching |
| title_full_unstemmed |
Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching |
| title_sort |
analytical pricing formulas for hybrid variance swaps with regime-switching |
| publishDate |
2017 |
| url |
http://repo.uum.edu.my/24959/ |
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1644284188612886528 |