Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate With Regime-switching
In 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...
| Format: | Others |
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| Published: |
arXiv,
2016-09-19T04:41:21Z.
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| Subjects: | |
| Online Access: | Get fulltext |