Pricing options on discrete realized variance with partially exact and bounded approximations

DOI10.1080/14697688.2015.1008229zbMath1395.91472OpenAlexW2060100700WikidataQ60148427 ScholiaQ60148427MaRDI QIDQ4683116

Wendong Zheng, Yue Kuen Kwok

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1008229

zbMATH Keywords

stochastic volatilitypartially exact and bounded approximationsconditioning variable methodoptions on discrete variance

Mathematics Subject Classification ID

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

Related Items (1)

Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition

Cites Work

• Local volatility of volatility for the VIX market
• Asymptotic and exact pricing of options on variance
• CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
• PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
• The value of an Asian option
• A comparison of biased simulation schemes for stochastic volatility models
• Options on Realized Variance in Log-OU Models

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