A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate

A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate

At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller square root process, only a semi-closed solution ca...

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Bibliographic Details
Main Authors: Chen Mao, Guanqi Liu, Yuwen Wang
Format: Article
Language:English
Published: MDPI AG 2021-12-01
Series:Mathematics
Subjects:
CIR–Heston hybrid model
realized variance
stochastic volatility
stochastic interest rate
variance swap
Online Access:https://www.mdpi.com/2227-7390/10/1/5

Internet

https://www.mdpi.com/2227-7390/10/1/5

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