Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
From MaRDI portal
Publication:2167364
DOI10.1007/S40314-022-01939-7OpenAlexW4284696905WikidataQ113898686 ScholiaQ113898686MaRDI QIDQ2167364
Youngin Yoon, Jeong-Hoon Kim, Jun-Ho Seo
Publication date: 25 August 2022
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-022-01939-7
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
- Stochastic differential equations. An introduction with applications
- A scaled version of the double-mean-reverting model for VIX derivatives
- Very fast simulated re-annealing
- Pricing generalized variance swaps under the Heston model with stochastic interest rates
- A Theory of the Term Structure of Interest Rates
- Fast Ninomiya–Victoir calibration of the double-mean-reverting model
- CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
- On the Heston Model with Stochastic Interest Rates
- A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
- Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
- A method for the solution of certain non-linear problems in least squares
This page was built for publication: Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
