Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
classification
💱 q-fin.PR
keywords
volatilitystochasticpricingformulasintensityjumpsmodelswaps
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In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation is obtained to derive the joint moment generating function of the previous model. Moreover, discrete and continuous sampled volatility swap pricing formulas are given by employing transform techniques and the relationship between two pricing formulas is discussed. Finally, some numerical simulations are reported to support the results presented in this paper.
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