arXiv q-fin· Semere Gebresilassie, Mulue Gebreslasie, Minglian Lin·· 2 days agoAI Score35
Pricing Generalized Discrete Swaps under Multi-Asset Stochastic Volatility Models
Pricing Generalized Dispersion Swap for Multi-Asset Stochastic Volatility Models
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This paper proposes a generalized variance framework based on the determinant of the instantaneous covariance matrix of asset log returns for pricing multi-asset discrete swaps, which captures the joint discreteness of multivariate asset returns while accounting for their dependence structure. The framework is constructed under Heston and Barndorff-Nielsen-Shephard (BNS) stochastic volatility models, deriving analytical pricing expressions for the three-asset Heston model and tractable approximations for the corresponding BNS model.
Source:arXiv q-fin · arxiv.org
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