Variance Swap Pricing under Hybrid Jump Model

DOI10.4208/EAJAM.071119.010320zbMath1461.91319OpenAlexW3034919148MaRDI QIDQ4986618

Benchawan Wiwatanapataphee, Yu Yang, Shican Liu, Yong-Hong Wu

Publication date: 27 April 2021

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.071119.010320

zbMATH Keywords

stochastic volatilityvariance swapgeneralised Fourier transformtime-scale

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing variance swaps under stochastic volatility and stochastic interest rate
• Interest rate models -- theory and practice. With smile, inflation and credit
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Prices and Asymptotics for Discrete Variance Swaps
• Stochastic Volatility for Lévy Processes

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