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dc.identifier.citationarXiv:1603.08289 [q-fin.MF]
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
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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
dark.contributor.authorCao, Jen_NZ
dark.contributor.authorNazirah Roslan, Ren_NZ
dark.contributor.authorZhang, Wen_NZ
aut.publication.placeCornell University Libraryen_NZ

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