On the pricing and hedging of volatility derivatives

DOI10.1080/1350486042000254024zbMath1108.91316OpenAlexW1965658608MaRDI QIDQ4672757

Henrik Koblitz Rasmussen, Avraam Rafailidis, S. D. Howison

Publication date: 3 May 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:4d6b447f-1168-48e2-836f-c07a361c586d

zbMATH Keywords

approximate solutionspartial differential equation

Mathematics Subject Classification ID

Related Items (39)

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL ⋮ Swap rate variance swaps ⋮ VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING ⋮ Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching ⋮ Spectral methods for volatility derivatives ⋮ A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY ⋮ Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching ⋮ Pricing double volatility barriers option under stochastic volatility ⋮ Variance-optimal hedging for target volatility options ⋮ Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps ⋮ Prices and Asymptotics for Discrete Variance Swaps ⋮ ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS ⋮ Pricing forward-start variance swaps with stochastic volatility ⋮ A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate ⋮ Root's barrier: construction, optimality and applications to variance options ⋮ VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING ⋮ Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model ⋮ Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case ⋮ A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps ⋮ Volatility swaps and volatility options on discretely sampled realized variance ⋮ COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ On the valuation of variance swaps with stochastic volatility ⋮ PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS ⋮ Pricing variance swaps for stochastic volatilities with delay and jumps ⋮ Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity ⋮ Inference in Lévy-type stochastic volatility models ⋮ On the pricing and hedging of volatility derivatives ⋮ EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS ⋮ Matched asymptotic expansions in financial engineering ⋮ ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY ⋮ Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model ⋮ A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY ⋮ THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ A closed-form pricing formula for variance swaps under MRG-Vasicek model ⋮ STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS ⋮ A regime-switching Heston model for VIX and S&P 500 implied volatilities ⋮ Analytically pricing volatility swaps under stochastic volatility

Cites Work

• Boundary layers and homogenization of transport processes
• The Valuation of Volatility Options
• On the pricing and hedging of volatility derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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