A closed-form formula for pricing variance swaps on commodities

DOI10.1007/s10013-016-0224-9zbMath1366.91156OpenAlexW2524495432MaRDI QIDQ2360087

Sanae Rujivan, Anurak Weraprasertsakun

Publication date: 23 June 2017

Published in: Vietnam Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10013-016-0224-9

zbMATH Keywords

commodity pricesvariance swapsdiscrete samplingSchwartz's model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER ⋮ Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives ⋮ Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes

Cites Work

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• An efficient control variate method for pricing variance derivatives
• A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
• Pricing volatility derivatives under the modified constant elasticity of variance model
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

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