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• W54133067 abstract "We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a L'{e}vy subordinator. In this framework, the underlying may exhibit jumps with a state-dependent L'{e}vy measure, local stochastic volatility and have a local stochastic default intensity. Moreover, the L'{e}vy subordinator that drives the underlying can be obtained directly by observing European call/put prices. To illustrate our general framework, we provide an explicit formula for the value of a variance swap when the diffusion is modeled as (i) a L'evy subordinated geometric Brownian motion with default and (ii) a L'evy subordinated Jump-to-default CEV process (see citet{carr-linetsky-1}). Our results extend the results of cite{mendoza-carr-linetsky-1}, by allowing for joint valuation of credit and equity derivatives as well as variance swaps." @default.
• W54133067 created "2016-06-24" @default.
• W54133067 creator A5029466911 @default.
• W54133067 creator A5061836384 @default.
• W54133067 date "2012-09-04" @default.
• W54133067 modified "2023-09-27" @default.
• W54133067 title "Pricing of Variance Swaps under a Credit-Equity Modeling Framework" @default.
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• W54133067 hasPublicationYear "2012" @default.
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