RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES

DOI10.1142/S0219024916500114zbMath1337.91132MaRDI QIDQ2800053

Chi Hung Yuen, Yue Kuen Kwok, Wendong Zheng

Publication date: 14 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

volatility swapstime-changed Lévy processesdiscrete samplingvariance options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Numerical methods for integral transforms (65R10)

Related Items

A dynamic equilibrium model for U-shaped pricing kernels, CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY, Pricing ratchet equity index annuity with mortality risk by complex Fourier series method

Cites Work

• Mathematical methods for financial markets.
• A new approach for option pricing under stochastic volatility
• Change of Time and Change of Measure
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
• PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
• EXACT SIMULATION OF THE 3/2 MODEL
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
• Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes
• The Variance Gamma Process and Option Pricing
• THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY