A path-independent approach to integrated variance under the CEV model

DOI10.1016/J.MATCOM.2014.09.004OpenAlexW2036016933MaRDI QIDQ2228592

Hengxu Wang, Nick Constantinou, John G. O'Hara

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/11941/1/CCFEA-WP067-13.pdf

zbMATH Keywords

Brownian bridgeCEV processrealized varianceconditional Monte-Carlo simulationsmall disturbance asymptotic expansion

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Pricing variance swaps under hybrid CEV and stochastic volatility

Cites Work

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• Pricing and Hedging Path-Dependent Options Under the CEV Process
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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