In this paper, we consider the problem of pricing a variance swap whose underlying asset price dynamics is modeled under a hybrid framework of constant elasticity of variance and stochastic volatility (SVCEV). Applying the multi-scale asymptotic analysis approach, we obtain a semi-closed form approximation of the fair continuous variance strike. We conduct numerical experiments by applying this approximation formula to calculate the square root of the fair continuous variance strike with different values of parameters. The market data of S&P 500 options are used to obtain calibrations of the SVCEV model, and then the estimated parameters are further used to compute the values of the square root of fair continuous variance strike. In addition, we also analyze and compare the performance of the CEV model, the SVCEV model and the Heston stochastic volatility model.

在本文中，我们考虑了方差掉期定价的问题，其基础资产价格动态是在方差恒定弹性和随机波动率（SVCEV）的混合框架下建模的。应用多尺度渐近分析方法，我们获得了公平的连续方差罢工的半封闭形式近似。我们通过应用此近似公式来进行数值实验，以计算具有不同参数值的公平连续方差行使的平方根。标普500期权的市场数据用于获得SVCEV模型的校准，然后估计的参数进一步用于计算公平连续方差行使的平方根值。此外，我们还分析和比较了CEV模型的性能，