The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the stochastic interest rate is driven by the Cox-...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Korean Mathematical Society
2020
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/27991/1/JKMS%2057%205%202020%201167%201186.pdf |