A closed-form pricing formula for variance swaps under MRG–Vasicek model

被引：0
|
作者：
Yuecai Han
Longxiao Zhao
机构：
[1] Mathematics School of Jilin University,
来源：
Computational and Applied Mathematics | 2019年 / 38卷
关键词：
Variance swaps; Mean-reverting Gaussian volatility model; Vasicek interest rate model; Realized variance; Fourier transform; 91B70; 91G20;
D O I：
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摘要：
In this paper, the pricing problems of variance swaps with discrete sampling times are studied, where the volatility of underlying assets follows a mean-reverting Gaussian (MRG in short) process, and the instantaneous interest rate is described by classical Vasicek model. By using measure transformation, Feynman–Kac formula and Fourier transform algorithm, a closed-form analytic pricing formula for variance swaps with the actual-return realized variance is presented.
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