Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case
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Publication:2088813
DOI10.1016/j.cam.2022.114672zbMath1500.91140MaRDI QIDQ2088813
Publication date: 6 October 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114672
mixture distribution; volatility swaps; discrete sampling; time-varying volatility; analytical pricing formula; volatility options
91G20: Derivative securities (option pricing, hedging, etc.)
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