Volatility and Variance Swaps for the COGARCH(1,1) Model

2010 ◽  
Vol 2 (5) ◽  
pp. 231-246 ◽  
Author(s):  
Anatoliy Swishchuk ◽  
Matthew Couch
Keyword(s):  
Variance Swaps

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

2021 ◽  
pp. 1-17
Author(s):  
Huojun Wu ◽  
Zhaoli Jia ◽  
Shuquan Yang ◽  
Ce Liu
Keyword(s):  
Interest Rate ◽  
Closed Form ◽  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Characteristic Functions ◽  
Stochastic Interest Rate ◽  
Modeling Framework ◽  
Variance Swaps ◽  
Volatility Model ◽  
Stochastic Interest

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.

scholarly journals Hedging (Co)Variance Risk with Variance Swaps

2008 ◽  
Author(s):  
José Da Fonseca ◽  
Martino Grasselli ◽  
Florian Ielpo
Keyword(s):  
Variance Swaps ◽  
Variance Risk

Variance swaps

2011 ◽  
pp. 201-223
Author(s):  
Wolfgang Karl Härdle ◽  
Elena Silyakova
Keyword(s):  
Variance Swaps
Sign in / Sign up

Export Citation Format

Share Document