英文标题：
《Pricing variance swaps in a hybrid model of stochastic volatility and
interest rate with regime-switching》
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作者：
Jiling Cao, Teh Raihana Nazirah Roslan and Wenjun Zhang
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最新提交年份：
2016
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英文摘要：
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modelling framework extends the Heston stochastic volatility model by including the CIR stochastic interest rate and model parameters that switch according to a continuous-time observable Markov chain process. A semi-closed form pricing formula for variance swaps is derived. The pricing formula is assessed through numerical implementations, and the impact of including regime-switching on pricing variance swaps is also discussed.
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中文摘要：
在本文中，我们考虑了基于随机波动率和随机利率混合模型的离散抽样方差互换定价问题。我们的建模框架扩展了赫斯顿随机波动率模型，包括CIR随机利率和根据连续时间可观测马尔可夫链过程切换的模型参数。推导了方差互换的半封闭形式定价公式。通过数值实现对定价公式进行了评估，并讨论了包括制度转换对定价差异互换的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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