Pricing variance swaps under hybrid CEV and stochastic volatility

DOI10.1016/J.CAM.2020.113220zbMath1457.91369OpenAlexW3092669741MaRDI QIDQ2222171

Jiling Cao, Jeong-Hoon Kim, Wen-Jun Zhang

Publication date: 3 February 2021

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.2020.113220

zbMATH Keywords

asymptotic analysiscalibrationBlack-Scholesvariance swapHestonSVCEV

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL ⋮ Pricing of vulnerable options under hybrid stochastic and local volatility ⋮ Closed-form formula for conditional moments of generalized nonlinear drift CEV process ⋮ Valuation of barrier and lookback options under hybrid CEV and stochastic volatility ⋮ Unnamed Item

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