Variance swaps valuation under non-affine GARCH models and their diffusion limits

DOI10.1080/14697688.2018.1478120zbMath1420.91443OpenAlexW2885603959MaRDI QIDQ5234288

Yuyu Chen, Matthew Couch, Alexandru M. Badescu, Zhen-Yu Cui

Publication date: 26 September 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2018.1478120

zbMATH Keywords

variance swapsdiffusion limitsextended Girsanov principlenon-Gaussian GARCH modelsCBOE VIX

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Option valuation with IG-GARCH model and a U-shaped pricing kernel ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ A Markov chain approximation scheme for option pricing under skew diffusions

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