English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Tools annual

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Presents the access of premium content as premium feature

Premium Content

Global: Zendy Plus annual

Global: Zendy Free Plan

This paper focuses on the pricing of the variance swap in an incompletemarket where the stochastic interest rate and the price of the stock arerespectively driven by Cox-Ingersoll-Ross model and Heston model withsimultaneous L\'{e}vy jumps. By using the equilibrium framework, we obtain thepricing kernel and the equivalent martingale measure. Moreover, under theforward measure instead of the risk neural measure, we give the closed-formsolution for the fair delivery price of the discretely sampled variance swap byemploying the joint moment generating function of the underlying processes.Finally, we provide some numerical examples to depict that the values ofvariance swaps not only depend on the stochastic interest rates but alsoincrease in the presence of jump risks.

Variance swaps under L\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets