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...
| 主要作者: | |
|---|---|
| 格式: | Conference or Workshop Item |
| 出版: |
2017
|
| 主题: |