Pricing variance swaps for stochastic volatilities with delay and jumps

DOI10.1155/2011/435145zbMath1217.91187OpenAlexW1993147216WikidataQ58688907 ScholiaQ58688907MaRDI QIDQ538918

Anatoliy Swishchuk, Li Xu

Publication date: 26 May 2011

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/231967

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

A BSDE with delayed generator approach to pricing under counterparty risk and collateralization ⋮ A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility ⋮ Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives ⋮ Time-delayed stochastic volatility model ⋮ Analytically pricing volatility swaps under stochastic volatility

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Risk, jumps, and diversification
• Differential-difference equations
• Diffusion approximation in past dependent models and applications to option pricing
• Estimating the degree of activity of jumps in high frequency data
• The equilibrium allocation of diffusive and jump risks with heterogeneous agents
• The European option with hereditary price structures
• Introduction to functional differential equations
• Generalized autoregressive conditional heteroscedasticity
• The pricing of options for securities markets with delayed response
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
• Volatility Jumps
• PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
• THE GARCH OPTION PRICING MODEL
• A Delayed Black and Scholes Formula
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Complete Models with Stochastic Volatility
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• On the pricing and hedging of volatility derivatives
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Pricing variance swaps for stochastic volatilities with delay and jumps