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dc.date.accessioned2016-09-19T04:41:21Z
dc.date.available2016-09-19T04:41:21Z
dc.date.copyright2016-03-28en_NZ
dc.identifier.citationarXiv:1603.08289 [q-fin.MF]
dc.identifier.urihttp://hdl.handle.net/10292/10042
dc.description.abstractIn this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modeling framework extends the Heston stochastic volatility model by including the CIR stochastic interest rate and model parameters that switch according to a continuous-time observable Markov chain process. A semi-closed form pricing formula for variance swaps is derived. The pricing formula is assessed through numerical implementations, and the impact of including regime-switching on pricing variance swaps is also discussed.en_NZ
dc.publisherarXiven_NZ
dc.relation.urihttps://arxiv.org/pdf/1603.08289en_NZ
dc.rightsGranting rights for arXiv to distribute an article does not preclude later copyright assignment. Authors are thus free to publish submissions that already appear on arXiv. Authors may wish to inform the journal publisher that a prior non-exclusive license exists before transferring copyright or granting a publication license. Please check the policies of any potential publication venue before uploading to arXiv. (For the policy information of many publishers, see the SHERPA/RoMEO site.)
dc.subjectHeston-CIR hybrid model; Regime-switching; Realized variance; Stochastic interest rate; Stochastic volatility; Variance swap
dc.titlePricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate With Regime-switchingen_NZ
dc.typeCommissioned Report
dc.rights.accessrightsOpenAccessen_NZ
dark.contributor.authorCao, Jen_NZ
dark.contributor.authorNazirah Roslan, Ren_NZ
dark.contributor.authorZhang, Wen_NZ
aut.publication.placeCornell University Libraryen_NZ
aut.relation.reportnumberarXiv:1603.08289en_NZ
pubs.elements-id210994


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