违约资产的方差互换与市场隐含时变
Variance Swaps on Defaultable Assets and Market Implied Time-Changes
摘要：
我们计算方差互换的价值时，底层建模为一个马尔可夫过程的时间改变了一个Lévy从属。在此框架下，标的资产可能表现出具有状态依赖的Lévy测度、局部随机波动率的跳跃，并具有局部随机违约强度。此外，通过观察欧式看涨/看跌期权的价格，可以直接得到驱动基础价格的Lévy从属因子。为了说明我们的一般框架，我们提供了一个显式公式的方差互换的价值时，底层建模为（i）一个Lévy从属几何布朗运动与默认和（ii）Lévy从属跳转到默认CEV过程（见\citet{carr-linetsky-1}）。{In在后一个例子中，我们扩展了\cite{mendoza-carr-linetsky-1}的结果，允许信用和股权衍生品以及方差互换的联合估值。
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 Lévy subordinator. In this framework, the underlying may exhibit jumps with a state-dependent Lévy measure, local stochastic volatility and have a local stochastic default intensity. Moreover, the Lévy 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 Lévy subordinated geometric Brownian motion with default and (ii) a Lévy 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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
