Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
This paper examines variance swap pricing using a model that integrates three major features of financial assets, namely the mean reversion in asset price, multi-factor stochastic volatility (SV) and simultaneous jumps in prices and volatility factors. Closed-form solutions are derived for vanilla v...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2016
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/81385 http://hdl.handle.net/10220/40730 |