کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4625906 1631778 2016 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing variance swaps under stochastic volatility and stochastic interest rate
ترجمه فارسی عنوان
مبادلات واریانس قیمت گذاری تحت نوسانات تصادفی و نرخ بهره تصادفی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
چکیده انگلیسی

In this paper, we investigate the effects of imposing stochastic interest rate driven by the Cox–Ingersoll–Ross process along with the Heston stochastic volatility model for pricing variance swaps with discrete sampling times. A dimension reduction mechanism based on the framework of Little and Pant (2001) is applied which later reduces to solving two three-dimensional partial differential equations. A semi-closed form solution to the fair delivery price of a variance swap is obtained via the derivation of characteristic functions. Practical implementation of this hybrid model is demonstrated through numerical simulations.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 277, 20 March 2016, Pages 72–81
نویسندگان
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