Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields
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Publication:2056999
DOI10.4310/CMS.2021.V19.N1.A5zbMath1479.91413MaRDI QIDQ2056999
Publication date: 8 December 2021
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
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AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER ⋮ Unnamed Item ⋮ Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives ⋮ 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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