英文标题：
《Volatility swaps valuation under stochastic volatility with jumps and
  stochastic intensity》
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作者：
Ben-zhang Yang, Jia Yue, Ming-hui Wang, Nan-jing Huang
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最新提交年份：
2018
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英文摘要：
  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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中文摘要：
当标的资产遵循具有跳跃和随机强度的随机波动率模型时，给出了波动率掉期的定价公式。利用Feynman-Kac定理，得到了一个偏积分微分方程，导出了前一模型的联合力矩母函数。此外，利用变换技术给出了离散和连续采样波动率掉期定价公式，并讨论了两个定价公式之间的关系。最后，通过数值模拟验证了本文的结果。
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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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