A Comparison of Jump Models for Volatility Derivatives
碩士 === 國立交通大學 === 財務金融研究所 === 99 === We propose a random intensity model of Heston’s stochastic volatility where jump frequency is volatility-dependent for the pricing of variance swaps. The fair continuous variance strike and the fair discrete variance strike in the RI model are both derived and ve...
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| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75130083098275526486 |
| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 99 === We propose a random intensity model of Heston’s stochastic volatility where jump frequency is volatility-dependent for the pricing of variance swaps. The fair continuous variance strike and the fair discrete variance strike in the RI model are both derived and verified by Monte Carlo simulation. We investigate the effect of random intensity on variance swaps. Numerical results show that fair variance strike in the either case of discrete and continuous sampling will increasing when the volatility-dependent part of jumps frequency is increases.
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