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Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching

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-switching. Our modelling framework extends the Heston stochastic volatility model by including the CIR stochastic interest rate and model parameters that switch according to a continuous-time observable Markov chain process. A semi-closed form pricing formula for variance swaps is derived. The pricing formula is assessed through numerical implementations, and the impact of including regime-switching on pricing variance swaps is also discussed.

preprint2016arXivOpen access
Jiling CaoTeh Raihana Nazirah RoslanWenjun Zhang
q-fin.MFq-fin.PR
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Open access3 authors2 topics
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Jiling CaoTeh Raihana Nazirah RoslanWenjun Zhang

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