A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching  

作　　者：Xin-Jiang He Sha Lin 

机构地区：[1]School of Economics,Zhejiang University of Technology,Hangzhou,China [2]Institute for Industrial System Modernization,Zhejiang University of Technology,Hangzhou,China [3]School of Finance,Zhejiang Gongshang University,Hangzhou,China

出　　处：《Financial Innovation》2024年第1期680-702,共23页金融创新(英文)

基　　金：supported by the National Natural Science Foundation of China(Nos.12101554,12301614),the Fundamental Research Funds for Zhejiang Provincial Universities(No.GB202103001);Zhejiang Provincial Natural Science Foundation of China(No.LQ22A010010);Ministry of Educational Social Science Foundation of China(No.21YJC880050).

摘　　要：The effects of stochastic volatility,jump clustering,and regime switching are considered when pricing variance swaps.This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources.Based on this,a novel probabilistic approach was employed,leading to pricing formulas with time-dependent and regime-switching parameters.The formulated solutions were easy to implement and differed from most existing results of variance swap pricing,where Fourier inversion or fast Fourier transform must be performed to obtain the final results,since they are completely analytical without involving integrations.The numerical results indicate that jump clustering and regime switching have a significant influence on variance swap prices.

关 键 词：Stochastic volatility Jump clustering Regime switching Variance swaps Probabilistic approach Closed-form solution 

分 类 号：O17[理学—数学]