Stochastic elasticity of vol-of-vol and pricing of variance swaps

DOI10.1016/J.MATCOM.2020.03.011OpenAlexW3023394625MaRDI QIDQ1998119FDOQ1998119

Authors: Seong-Tae Kim, Jeong-Hoon Kim 

Publication date: 6 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2020.03.011

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zbMATH Keywords

volatility of volatilityHeston modelvariance swapstochastic elasticity variance

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Mathematical economics (91Bxx)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• New solvable stochastic volatility models for pricing volatility derivatives
• On the Heston model with stochastic interest rates
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Prices and Asymptotics for Discrete Variance Swaps
• The Heston model with stochastic elasticity of variance
• Options on realized variance by transform methods: a non-affine stochastic volatility model
• A closed-form formula for the conditional moments of the extended CIR process
• Truncated ITÔ-Taylor expansions
• Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
• Analytic solutions for variance swaps with double-mean-reverting volatility

Cited In (2)

• Variance swaps under multiscale stochastic volatility of volatility
• Forecasting the elasticity of variance with LSTM recurrent neural networks

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