Pricing variance swaps with stochastic volatility under jump-diffusion
From MaRDI portal
Recommendations
- Pricing variance swaps for stochastic volatilities with delay and jumps
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- Variance swap pricing under Markov-modulated jump-diffusion model
- On the valuation of variance swaps with stochastic volatility
- Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching
- Pricing forward-start variance swaps with stochastic volatility
- Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process
- Pricing variance swaps under subordinated Jacobi stochastic volatility models
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
- Analytically pricing volatility swaps under stochastic volatility
Cited in
(21)- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- A closed-form expansion approach for pricing discretely monitored variance swaps
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
- Variance and volatility swaps valuations with the stochastic liquidity risk
- On the valuation of variance swaps with stochastic volatility
- Variance swap pricing under Markov-modulated jump-diffusion model
- Variance swaps under multiscale stochastic volatility of volatility
- Exact pricing with stochastic volatility and jumps
- Closed form pricing formulas for discretely sampled generalized variance swaps
- Variance swap with mean reversion, multifactor stochastic volatility and jumps
- An investigation of model risk in a market with jumps and stochastic volatility
- scientific article; zbMATH DE number 7295314 (Why is no real title available?)
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- Pricing and hedging contingent claims using variance and higher order moment swaps
- Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
- Variance swap pricing under hybrid jump model
- Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate
- A superconvergent partial differential equation approach to price variance swaps under regime switching models
- Variance swaps valuation under non-affine GARCH models and their diffusion limits
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
- Pricing variance swaps for stochastic volatilities with delay and jumps
This page was built for publication: Pricing variance swaps with stochastic volatility under jump-diffusion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2876063)