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Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching

Roslan, Teh Raihana Nazirah and Cao, Jiling and Zhang, Wenjun (2017) Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching. Proceeding of the 13th IMT-GT InternationalConference on Mathematics,Statistics and Applications (ICMSA2017). 030031-1.

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Abstract

The problem of pricing discretely-sampled variance swaps under stochastic volatility, stochastic interest rate and regimeswitchin" e is beine considered in this oaoer. An extension of the Heston stochastic volatiliw model structure is done bv adding the - . . . Cox-lngersoll-Row (CIR) ctochawc intereel rare modcl In add~uon[,h e parameme of the mndel are perm~rtedlo have uan<luonc followane a Markov cham proccrs whtch I, conunuous and &>.uvcrable lh~shb bnd model cdn be uced lo tllusunre ccrrlrn macmec~nomicc onditions.-for example the changing phases of business stages. The outcome of our regime-switching hybrid model is presented in lerms of analytical pricing formulas for variance swaps.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: College of Arts and Sciences
Depositing User: Mr. Che Hasan Hashim
Date Deposited: 11 Dec 2018 02:34
Last Modified: 11 Dec 2018 02:34
URI: https://repo.uum.edu.my/id/eprint/24959

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