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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Hlavní autoři:	Chen Mao, Guanqi Liu, Yuwen Wang
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	MDPI AG 2021-12-01
Edice:	Mathematics
Témata:	CIR–Heston hybrid model realized variance stochastic volatility stochastic interest rate variance swap
On-line přístup:	https://www.mdpi.com/2227-7390/10/1/5
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