Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives

DOI10.1016/j.cnsns.2021.105849zbMath1464.91073OpenAlexW3155694684MaRDI QIDQ2025470

Udomsak Rakwongwan, Sanae Rujivan

Publication date: 14 May 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2021.105849

zbMATH Keywords

volatility swapsdiscrete samplinganalytical pricing formula0,3volatility options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER ⋮ Unnamed Item ⋮ Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process ⋮ 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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