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 regime-switching is being considered in this paper. An extension of the Heston stochastic volatility model structure is done by adding the Cox-Ingersoll-Ross (CIR) stochastic interest r...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Published: |
2017
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