A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate

DOI10.1016/J.CAMWA.2018.08.022zbMath1442.91102OpenAlexW2889087541MaRDI QIDQ2202993

Xin-Jiang He, Song-Ping Zhu

Publication date: 1 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=3003&context=eispapers1

zbMATH Keywords

convergenceseries solutionHeston-CIR hybrid modelvariance and volatility swapsanalytical pricing formulae

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL ⋮ Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing variance swaps under stochastic volatility and stochastic interest rate
• Analysis of time series subject to changes in regime
• Term-structure models. A graduate course
• How should a local regime-switching model be calibrated?
• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
• A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• Numerical method for discrete double barrier option pricing with time-dependent parameters
• Analytically pricing volatility swaps under stochastic volatility
• Efficient and fast numerical method for pricing discrete double barrier option by projection method
• On the Heston Model with Stochastic Interest Rates
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Prices and Asymptotics for Discrete Variance Swaps
• Pricing European options with stochastic volatility under the minimal entropy martingale measure
• On the pricing and hedging of volatility derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case

This page was built for publication: A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate