1 citations · 1 across the 2 of their papers we have counts for
3 papers
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…
Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure
Teh Raihana Nazirah Roslan, Wenjun Zhang, Jiling Cao
This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity whic…
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…