摘要翻译：
当底层模型被建模为一个由l\'{e}vy从属子改变的马尔可夫过程时间时，我们计算一个方差交换的值。在此框架下，标的可能表现出与状态相关的L{e}vy测度的跳跃，局部随机波动，并具有局部随机违约强度。此外，通过观察欧洲看涨/看跌价格，可以直接获得驱动底层的l\'{e}vy从属者。为了说明我们的一般框架，我们提供了一个方差交换值的显式公式，当底层模型被建模为(i)一个L\'evy从属的具有缺省的几何布朗运动和(ii)一个L\'evy从属的跳到缺省的CEV过程（参见\citet{carr-linetsky-1}）时。在后一个例子中，我们推广了引用{mendoza-carr-linetsky-1}的结果，允许信用和股票衍生品以及方差互换的联合估值。
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英文标题：
《Variance Swaps on Defaultable Assets and Market Implied Time-Changes》
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作者：
Matthew Lorig, Oriol Lozano Carbasse, Rafael Mendoza-Arriaga
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a L\'{e}vy subordinator. In this framework, the underlying may exhibit jumps with a state-dependent L\'{e}vy measure, local stochastic volatility and have a local stochastic default intensity. Moreover, the L\'{e}vy subordinator that drives the underlying can be obtained directly by observing European call/put prices. To illustrate our general framework, we provide an explicit formula for the value of a variance swap when the underlying is modeled as (i) a L\'evy subordinated geometric Brownian motion with default and (ii) a L\'evy subordinated Jump-to-default CEV process (see \citet{carr-linetsky-1}). {In the latter example, we extend} the results of \cite{mendoza-carr-linetsky-1}, by allowing for joint valuation of credit and equity derivatives as well as variance swaps.
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PDF链接：
https://arxiv.org/pdf/1209.0697