Volatility swaps and volatility options on discretely sampled realized variance

DOI10.1016/j.jedc.2014.08.014zbMath1402.91800OpenAlexW3124818666MaRDI QIDQ1991924

Carl Chiarella, Petko S. Kalev, Guang-Hua Lian

Publication date: 2 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.08.014

zbMATH Keywords

stochastic volatilityvariance swapsvolatility swapsrealized variancevariance optionsFourier-cosine series

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS ⋮ A superconvergent partial differential equation approach to price variance swaps under regime switching models ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives ⋮ Closed-form variance swap prices under general affine GARCH models and their continuous-time limits ⋮ Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case

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