Pricing forward-start variance swaps with stochastic volatility

DOI10.1016/J.AMC.2014.10.050zbMath1328.91283OpenAlexW1989265966MaRDI QIDQ902796

Guang-Hua Lian, Song-Ping Zhu

Publication date: 4 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.10.050

zbMATH Keywords

stochastic volatilitycharacteristic functionvariance swapsHeston model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation ⋮ AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS ⋮ A closed-form pricing formula for variance swaps under MRG-Vasicek model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Asymptotic error distributions for the Euler method for stochastic differential equations
• On the valuation of variance swaps with stochastic volatility
• 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
• The Statistical Mechanics of Financial Markets
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• GARCH and volatility swaps
• Probability distribution of returns in the Heston model with stochastic volatility*
• On the pricing and hedging of volatility derivatives
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Stochastic volatility and the goodness-of-fit of the Heston model

This page was built for publication: Pricing forward-start variance swaps with stochastic volatility