A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY
From MaRDI portal
Publication:2925697
DOI10.1017/S144618111400011XzbMath1306.91144OpenAlexW2104411606MaRDI QIDQ2925697
Publication date: 17 October 2014
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s144618111400011x
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Pricing variance swaps under subordinated Jacobi stochastic volatility models ⋮ AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS ⋮ A closed-form pricing formula for variance swaps under MRG-Vasicek model
Cites Work
- The Pricing of Options and Corporate Liabilities
- A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- ARCH models as diffusion approximations
- Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
- Moment swaps
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- Probability with Martingales
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- On the pricing and hedging of volatility derivatives
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- An equilibrium characterization of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Pairs trading
- Stochastic differential equations. An introduction with applications.
