A superconvergent partial differential equation approach to price variance swaps under regime switching models
Publication:507897
DOI10.1016/J.CAM.2016.09.001zbMath1356.91097OpenAlexW2522367043WikidataQ115359814 ScholiaQ115359814MaRDI QIDQ507897
Désiré Yannick Tangman, Mehzabeen Jumanah Dilloo
Publication date: 9 February 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.09.001
finite differencevariance swapsexponential time integrationstochastic volatility modelregime switching modelsMerton's jump-diffusion model
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- A superconvergent partial differential equation approach to price variance swaps under regime switching models
- A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
- New solvable stochastic volatility models for pricing volatility derivatives
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
- Volatility swaps and volatility options on discretely sampled realized variance
- On the valuation of variance swaps with stochastic volatility
- Option pricing under regime-switching jump-diffusion models
- Talbot quadratures and rational approximations
- A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL
- AMERICAN OPTIONS WITH REGIME SWITCHING
- A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- GARCH and volatility swaps
- Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
- Financial Modelling with Jump Processes
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
- Option pricing when underlying stock returns are discontinuous
This page was built for publication: A superconvergent partial differential equation approach to price variance swaps under regime switching models
