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 king inspected. where hybridizations or equity and interest rate models are used to evaluate the price of discretely-sampled...

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Bibliographic Details
Main Author: Roslan, Teh Raihana Nazirah
Format: Conference or Workshop Item
Published: 2017
Subjects: