most citedPricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure

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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…