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.
Full text not available from this repository. (Request a copy)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 |
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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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