A stochastic hybrid model for pricing forward-start variance swaps

Recently, market players have been exposed to the astounding increase in the trading volume of variance swaps. In this paper, the forward-start nature of a variance swap is being inspected, where hybridizations of equity and interest rate models are used to evaluate the price of discretely-sampled f...

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Bibliographic Details
Main Author: Roslan, Teh Raihana Nazirah
Format: Conference or Workshop Item
Published: 2017
Subjects:
Online Access:http://repo.uum.edu.my/24886/
http://doi.org/10.1063/1.5012176
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