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

zbMATH Keywords

volatility of volatilityHeston modelvariance swapstochastic elasticity variance

Mathematics Subject Classification ID

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

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Cites Work

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

Cited In (4)

• An integral representation of elasticity and sensitivity for stochastic volatility models
• Variance swaps under multiscale stochastic volatility of volatility
• Forecasting the elasticity of variance with LSTM recurrent neural networks
• Stochastic elasticity of variance with stochastic interest rates

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