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• W2939722352 abstract "This paper focuses on the pricing of variance swaps in incomplete markets where the short rate of interest is determined by a Cox–Ingersoll–Ross model and the stock price is determined by a Heston model with simultaneous Lévy jumps. We obtain the pricing kernel and the equivalent martingale measure in an equilibrium framework. We also give new closed-form solutions for the delivery prices of discretely sampled variance swaps under the forward measure, as opposed to the risk neural measure, by employing the joint moment generating function of underlying processes. Theoretical results and numerical examples are provided to illustrate how the values of variance swaps depend on the jump risks and stochastic interest rate." @default.
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• W2939722352 date "2019-06-01" @default.
• W2939722352 modified "2023-10-12" @default.
• W2939722352 title "EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE" @default.
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• W2939722352 doi "https://doi.org/10.1142/s021902491950016x" @default.
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