A closed-form expansion approach for pricing discretely monitored variance swaps

DOI10.1016/j.orl.2015.06.003zbMath1408.91220OpenAlexW2222352555MaRDI QIDQ1785402

Chenxu Li, Xiaocheng Li

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2015.06.003

zbMATH Keywords

stochastic volatilityvariance swapsjump-diffusion modelsdiscretely monitoredclosed-form expansion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A new delta expansion for multivariate diffusions via the Itô-Taylor expansion ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

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