A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL

DOI10.1017/S1446181115000309zbMath1415.91289MaRDI QIDQ5369443

Sanae Rujivan

Publication date: 17 October 2017

Published in: The ANZIAM Journal (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityHeston modelgamma swapsweighted variance swaps

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Unnamed Item ⋮ AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER ⋮ Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives

Cites Work

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• On the valuation of variance swaps with stochastic volatility
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• CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
• A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic differential equations. An introduction with applications.

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