A closed-form pricing formula for variance swaps under MRG–Vasicek model
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DOI: 10.1007/s40314-019-0905-6
Abstract: In this paper, the pricing problems of variance swaps with discrete sampling times are studied, where the volatility of underlying assets follows a mean-reverting Gaussian (MRG in short) process, and the instantaneous interest rate is… read more here.
Keywords: formula; vasicek model; variance swaps; pricing ... See more keywords
Bond and Option Prices under Skew Vasicek Model with Transaction Cost
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DOI: 10.1155/2021/9920240
Abstract: This paper studies the European option pricing on the zero-coupon bond in which the Skew Vasicek model uses to predict the interest rate amount. To do this, we apply the skew Brownian motion as the… read more here.
Keywords: skew vasicek; option; transaction; bond ... See more keywords
Pricing of Basket CDS with Bilateral Default Risk under Vasicek Model with Circular Contagion
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DOI: 10.1155/2023/8960259
Abstract: In this study, on the basis of basket CDS, we take into account the complex correlations among market participants and choose to use the contagion model to price basket CDS. This study assumes that a… read more here.
Keywords: default; vasicek model; contagion; basket ... See more keywords