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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Main Authors: | , , |
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Format: | Article |
Published: |
2017
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Subjects: | |
Online Access: | http://repo.uum.edu.my/24959/ |
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Institution: | Universiti Utara Malaysia |