THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS

DOI10.1142/S0219024909005403zbMath1180.91289OpenAlexW3123775409MaRDI QIDQ3643591

Charles Tier, Richard Jordan

Publication date: 9 November 2009

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

Full work available at URL: https://doi.org/10.1142/s0219024909005403

zbMATH Keywords

asymptotic methodsCEV processvariance swaplog contract

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Asymptotic expansions of solutions to ordinary differential equations (34E05)

Related Items (3)

A path-independent approach to integrated variance under the CEV model ⋮ ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES ⋮ Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case

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Cites Work

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• A jump to default extended CEV model: an application of Bessel processes
• Matched asymptotic expansions in financial engineering
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Moment swaps
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Equivalent Black volatilities
• Volatility skews and extensions of the Libor market model
• On the pricing and hedging of volatility derivatives
• A fuzzy approach to construction project risk assessment and analysis: Construction project risk management system

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