Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate
Ben-Zhang Yang, Jia Yue and Nan-Jing Huang
| Year of publication: |
2019
|
|---|---|
| Authors: | Yang, Ben-Zhang ; Yue, Jia ; Huang, Nan-Jing |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 4, p. 1-33
|
| Subject: | Variance swap | stochastic volatility model with jumps | stochastic interest rate | discrete sampling | equilibrium pricing | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Swap | Optionspreistheorie | Option pricing theory | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902491950016X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012030903