Spectral methods for volatility derivatives

DOI10.1080/14697680902773603zbMath1188.91208arXiv0905.2091OpenAlexW3121614020MaRDI QIDQ3182744

Harry Lo, Aleksandar Mijatović, Claudio Albanese

Publication date: 16 October 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.2091

zbMATH Keywords

volatility surfacesvolatility modelingvolatility smile fittingstochastic volatility quantitative finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Swap rate variance swaps, A backward Monte Carlo approach to exotic option pricing, A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives', Options on realized variance by transform methods: a non-affine stochastic volatility model, KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS, VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS, STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS

Cites Work

• The Pricing of Options and Corporate Liabilities
• Consistent variance curve models
• An Algorithm for Computing Reducing Subspaces by Block Diagonalization
• Moment swaps
• Valuation of volatility derivatives as an inverse problem
• Numerical Considerations in Computing Invariant Subspaces
• On the pricing and hedging of volatility derivatives
• The Variance Gamma Process and Option Pricing