A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility

DOI10.1016/j.aml.2012.01.029zbMath1260.91102OpenAlexW2049523784MaRDI QIDQ712573

Sanae Rujivan, Song-Ping Zhu

Publication date: 17 October 2012

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2012.01.029

zbMATH Keywords

stochastic volatilityexplicit formulavariance swapsHeston modelclosed-form exact solution

Mathematics Subject Classification ID

Related Items (16)

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Cites Work

• Unnamed Item
• Pricing variance swaps for stochastic volatilities with delay and jumps
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• A Theory of the Term Structure of Interest Rates
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
• Moment swaps
• 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

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