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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75130083098275526486 |