EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE

DOI10.1142/S021902491950016XzbMath1411.91583OpenAlexW2939722352MaRDI QIDQ5384679

Jia Yue, Ben-Zhang Yang, Nan-Jing Huang

Publication date: 24 June 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491950016x

zbMATH Keywords

stochastic interest ratediscrete samplingvariance swapequilibrium pricingstochastic volatility model with jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Continuous time mean–variance–utility portfolio problem and its equilibrium strategy ⋮ Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients ⋮ Valuation of European crude oil options with co-jump diffusions and stochastic interest rate ⋮ Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory ⋮ RETRACTED ARTICLE: A generalized real option pricing method of R&D investments: jump diffusion and external competition ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ Robust portfolio optimization with multi-factor stochastic volatility

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