英文标题：
《Pricing Variance Swaps on Time-Changed Markov Processes》
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作者：
Peter Carr, Roger Lee, Matthew Lorig
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最新提交年份：
2019
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英文摘要：
We prove that the variance swap rate (fair strike) equals the price of a co-terminal European-style contract when the underlying is an exponential Markov process, time-changed by an arbitrary continuous stochastic clock, which has arbitrary correlation with the driving Markov process, provided that the payoff function $G$ of the European contract satisfies an ordinary integro-differential equation, which depends only on the dynamics of the Markov process, not on the clock. We present examples of Markov processes where the function $G$ that prices the variance swap can be computed explicitly. In general, the solutions $G$ are not contained in the logarithmic family previously obtained in the special case where the Markov process is a L\\\'evy process.
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中文摘要：
我们证明了当标的是指数马尔可夫过程，时间由任意连续随机时钟改变，与驱动马尔可夫过程具有任意相关性时，方差交换率（公平罢工）等于共同终端欧式合同的价格，前提是欧洲合约的支付函数$G$满足一个普通的积分微分方程，该方程只取决于马尔可夫过程的动力学，而不取决于时钟。我们给出了马尔可夫过程的例子，其中可以显式计算为方差交换定价的函数$G$。一般来说，解$G$不包含在以前在马尔可夫过程为L掼vy过程的特殊情况下获得的对数族中。
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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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