Variance swap with mean reversion, multifactor stochastic volatility and jumps
From MaRDI portal
Publication:319633
DOI10.1016/j.ejor.2015.03.026zbMath1346.91239OpenAlexW1995216113WikidataQ58980818 ScholiaQ58980818MaRDI QIDQ319633
Hoi Ying Wong, Chi Seng Pun, Shing Fung Chung
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10220/40730
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- Do price and volatility jump together?
- Option pricing with mean reversion and stochastic volatility
- A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
- On the Number of State Variables in Options Pricing
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
