PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE

被引：7

作者：

Wu, Huojun ^{[1
]}

Jia, Zhaoli ^{[1
]}

Yang, Shuquan ^{[1
]}

Liu, Ce ^{[1
]}

机构：

[1] Hefei Univ Technol, Sch Math, Hefei 230009, Peoples R China

来源：

PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | 2022年 / 36卷 / 02期

基金：

中国国家自然科学基金;

关键词：

double Heston hybrid model; generalized Fourier transform; realized variance; variance swap; OPTIONS;

D O I：

10.1017/S0269964820000662

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In this paper, we discuss the problem of pricing discretely sampled variance swaps under a hybrid stochastic model. Our modeling framework is a combination with a double Heston stochastic volatility model and a Cox-Ingersoll-Ross stochastic interest rate process. Due to the application of the T-forward measure with the stochastic interest process, we can only obtain an efficient semi-closed form of pricing formula for variance swaps instead of a closed-form solution based on the derivation of characteristic functions. The practicality of this hybrid model is demonstrated by numerical simulations.

引用

页码：564 / 580

页数：17

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