英文标题：
《Pricing variance swaps with stochastic volatility and stochastic
interest rate under full correlation structure》
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作者：
Teh Raihana Nazirah Roslan, Wenjun Zhang, Jiling Cao
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最新提交年份：
2020
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英文摘要：
This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) process with full correlation structure imposed among the state variables. This full correlation structure possess the limitation to have fully analytical pricing formula for hybrid models of variance swaps, due to the non-affinity property embedded in the model itself. We address this issue by obtaining an efficient semi-closed form pricing formula of variance swaps for an approximation of the hybrid model via the derivation of characteristic functions. Subsequently, we implement numerical experiments to evaluate the accuracy of our pricing formula. Our findings confirmed that the impact of the correlation between the underlying and the interest rate is significant for pricing discretely-sampled variance swaps.
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中文摘要：
本文研究了股权利率混合下离散抽样方差掉期的定价问题。我们的建模框架由遵循赫斯顿随机波动率模型动力学的股票组成，随机利率由Cox-Ingersoll-Ross（CIR）过程驱动，状态变量之间具有完全相关结构。由于模型本身具有非亲和力特性，这种完全相关结构对于方差掉期混合模型具有完全分析定价公式的局限性。我们通过推导特征函数，获得了一个有效的半封闭形式的方差交换定价公式，以近似混合模型，从而解决了这个问题。随后，我们进行了数值实验，以评估定价公式的准确性。我们的研究结果证实，基础利率和利率之间的相关性对离散抽样方差掉期的定价具有重要影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：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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