Valuation of discretely-sampled variance swaps under correlated stochastic volatility and stochastic interest rates
In this paper, we evaluate the price of discretely-sampled variance swaps using a equity-interest rate hybrid model. Our modeling framework extends the Heston stochastic volatility model by including the Cox-Ingersoll-Ross stochastic interest rates and imposes correlation between the stochastic inte...
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| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://repo.uum.edu.my/27990/1/ASM-02%201%208.pdf http://repo.uum.edu.my/27990/ |
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