Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models

DOI10.1080/1350486X.2015.1050525zbMath1396.91772WikidataQ60148426 ScholiaQ60148426MaRDI QIDQ4682488

Chi Hung Yuen, Wendong Zheng, Yue Kuen Kwok

Publication date: 18 September 2018

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

zbMATH Keywords

variance swaps3/2-volatility modelcorridor variance swapsgamma swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

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 ⋮ Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model ⋮ A superconvergent partial differential equation approach to price variance swaps under regime switching models ⋮ Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives ⋮ Explicit solution simulation method for the 3/2 model ⋮ Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees

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