Closed-form variance swap prices under general affine GARCH models and their continuous-time limits

DOI10.1007/S10479-018-2941-9zbMath1430.91104OpenAlexW2810632803WikidataQ129609350 ScholiaQ129609350MaRDI QIDQ2288922

Juan-Pablo Ortega, Alexandru M. Badescu, Zhen-Yu Cui

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2941-9

zbMATH Keywords

variance swapsdiffusion limitsrealized varianceaffine GARCH modelsvariance dependent pricing kernels

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Expected Utility Theory on General Affine GARCH Models ⋮ Volatility GARCH models with the ordered weighted average (OWA) operators ⋮ EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE ⋮ Option pricing with conditional GARCH models ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ A Markov chain approximation scheme for option pricing under skew diffusions ⋮ Model risk in the over-the-counter market

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