@Article{EAJAM-10-3,
author = {S., Liu and Wiwatanapataphee, B. and Y.H., Wu and Yang, Y.},
title = {Variance Swap Pricing under Hybrid Jump Model},
journal = {East Asian Journal on Applied Mathematics},
year = {2020},
volume = {10},
number = {3},
pages = {594--619},
abstract = {<p style="text-align: justify;">This paper investigates the pricing of discrete-sampled variance swaps driven
by a generalised stochastic model taking into account stochastic volatility, stochastic
interest rate and jump-diffusion process. The model includes various existing models as
special cases, such as the CIR model, the Heston CIR model, and the multi-factor CIR
model. The integral term arising from the jump-diffusion is dealt with by employing
the characteristic function and Fourier convolution. By applying a high-dimensional
generalised hybrid method, a semi-analytic solution is derived. The effects of stochastic
interest rate, stochastic volatility and jump rate on variance swap price are investigated.
It is shown that both the stochastic volatility and the jump rate have significant effects
on the fair strike price, while the effect of the stochastic interest rate is minor and can
be ignored.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.071119.010320},
url = {https://global-sci.com/article/82572/variance-swap-pricing-under-hybrid-jump-model}
}