方差交换
随机波动
波动率互换
远期波动率
波动性(金融)
计量经济学
隐含波动率
SABR波动模型
波动微笑
波动性风险溢价
市场流动性
数学
经济
金融经济学
货币经济学
摘要
ABSTRACT We construct a stochastic volatility model considering stochastic liquidity risks when valuing variance and volatility swaps with discrete sampling. We base our model on Heston stochastic volatility, which is adopted for the modeling of stock prices when the market is perfectly liquid. Stock dynamics are further revised by discounting their prices through the employment of mean reverting market liquidity. We convert the stock dynamics under the physical measure into the one under a risk‐neutral measure via measure transform, with which the analytical valuation of variance and volatility swaps is realized. By taking the limit of sampling frequency, we further consider how both swaps with continuous sampling can be priced. Numerical implementation is finally carried out, with which the capability of the constructed model in capturing the influence of the two common types of financial risks can be clear.
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