A stochastic hybrid model for pricing forward-start variance swaps
Recently, market players have been exposed to the astounding increase in the trading volume of variance swaps. In this paper, the forward-start nature of a variance swap is being inspected, where hybridizations of equity and interest rate models are used to evaluate the price of discretely-sampled f...
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2017
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A Stochastic Hybrid Model for Pricing Forward-Start Variance Swaps
Published 2017
Conference or Workshop Item