CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
From MaRDI portal
Publication:2927954
DOI10.1111/mafi.12016zbMath1314.91219OpenAlexW2330403207WikidataQ60148430 ScholiaQ60148430MaRDI QIDQ2927954
Publication date: 5 November 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12016
Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)
Related Items
A closed-form formula for pricing variance swaps on commodities ⋮ Catastrophe equity put options with target variance ⋮ Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes ⋮ Asymptotic expansion formula of option price under multifactor Heston model ⋮ Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance ⋮ Pricing variance swaps under subordinated Jacobi stochastic volatility models ⋮ Variance swaps under multiscale stochastic volatility of volatility ⋮ Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model ⋮ Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance ⋮ CBI-time-changed Lévy processes ⋮ A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL ⋮ Valuation of European crude oil options with co-jump diffusions and stochastic interest rate ⋮ AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS ⋮ Variance swaps under the threshold Ornstein–Uhlenbeck model ⋮ EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE ⋮ Unnamed Item ⋮ MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS ⋮ Volatility swaps and volatility options on discretely sampled realized variance ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ Pricing generalized variance swaps under the Heston model with stochastic interest rates ⋮ Analytic solutions for variance swaps with double-mean-reverting volatility ⋮ Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity ⋮ Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models ⋮ Pricing options on discrete realized variance with partially exact and bounded approximations ⋮ Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives ⋮ A closed-form expansion approach for pricing discretely monitored variance swaps ⋮ Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS ⋮ Pricing Variance Swaps on Time-Changed Markov Processes
Cites Work
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
