CUTTING EDGE Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, the authors derive the fair strike when both the underlying stock and the interest rate are general Itô processes.
| Year of publication: |
2010
|
|---|---|
| Authors: | Hörfelt, Per ; Torné, Olaf |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 6, p. 82-86
|