VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (Q5890133): Difference between revisions

Latest revision as of 00:41, 1 August 2024

scientific article; zbMATH DE number 7680729

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English	VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL	scientific article; zbMATH DE number 7680729

Statements

instance of

scholarly article

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title

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (English)

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28 April 2023

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zbMATH Keywords

volatility swaps

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modified Heston model

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risk-neutralized volatility

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stochastic long-run variance

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analytical solution

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1017/s144618112200013x

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cites work

Pricing variance swaps under hybrid CEV and stochastic volatility

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Pricing variance swaps under stochastic volatility and stochastic interest rate

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Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching

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The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure

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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

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Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case

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Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

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Note on the inversion theorem

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A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

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A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate

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VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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On the pricing and hedging of volatility derivatives

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Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model

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Variance swaps under multiscale stochastic volatility of volatility

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Variance swap with mean reversion, multifactor stochastic volatility and jumps

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PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE

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Analytically pricing volatility swaps under stochastic volatility

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Identifiers

DOI

10.1017/S144618112200013X

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5890133

@@ Property / cites work @@
+Pricing variance swaps under hybrid CEV and stochastic volatility
+Normal rank
@@ Property / cites work @@
+Pricing variance swaps under stochastic volatility and stochastic interest rate
+Normal rank
@@ Property / cites work @@
+Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
+Normal rank
@@ Property / cites work @@
+The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
+Normal rank
@@ Property / cites work @@
+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
+Normal rank
@@ Property / cites work @@
+A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
+Normal rank
@@ Property / cites work @@
+Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
+Normal rank
@@ Property / cites work @@
+Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
+Normal rank
@@ Property / cites work @@
+Note on the inversion theorem
@@ Property / cites work: Note on the inversion theorem / rank @@
+Normal rank
@@ Property / cites work @@
+A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
+Normal rank
@@ Property / cites work @@
+A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
+Normal rank
@@ Property / cites work @@
+VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+On the pricing and hedging of volatility derivatives
+Normal rank
@@ Property / cites work @@
+Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Variance swaps under multiscale stochastic volatility of volatility
+Normal rank
@@ Property / cites work @@
+Variance swap with mean reversion, multifactor stochastic volatility and jumps
+Normal rank
@@ Property / cites work @@
+PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE
+Normal rank
@@ Property / cites work @@
+Analytically pricing volatility swaps under stochastic volatility
+Normal rank