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- W3123101648 abstract "This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersoll-Ross model and Heston model with simultaneous L'{e}vy jumps. By using the equilibrium framework, we obtain the pricing kernel and the equivalent martingale measure. Moreover, under the forward measure instead of the risk neural measure, we give the closed-form solution for the fair delivery price of the discretely sampled variance swap by employing the joint moment generating function of the underlying processes. Finally, we provide some numerical examples to depict that the values of variance swaps not only depend on the stochastic interest rates but also increase in the presence of jump risks." @default.
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- W3123101648 date "2017-01-01" @default.
- W3123101648 modified "2023-09-23" @default.
- W3123101648 title "Variance swaps under L'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets" @default.
- W3123101648 hasPublicationYear "2017" @default.
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