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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| Format: | Conference or Workshop Item |
| Published: |
2017
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| Online Access: | http://repo.uum.edu.my/24886/ http://doi.org/10.1063/1.5012176 |
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