A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate

At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller square root process, only a semi-closed solution ca...

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Autores principales:	Chen Mao, Guanqi Liu, Yuwen Wang
Formato:	Artigo
Lenguaje:	Inglês
Publicado:	MDPI AG 2021-12-01
Colección:	Mathematics
Materias:	CIR–Heston hybrid model realized variance stochastic volatility stochastic interest rate variance swap
Acceso en línea:	https://www.mdpi.com/2227-7390/10/1/5
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