2 papers
q-fin.PR2022
Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform
Jiling Cao, Jeong-Hoon Kim, Xi Li +1
In this paper, we derive closed-form formulas of first-order approximation for down-and-out barrier and floating strike lookback put option prices under a stochastic volatility mod…
q-fin.MF2016
Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
Jiling Cao, Teh Raihana Nazirah Roslan, Wenjun Zhang
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switch…