Pricing of variance swap rates and investment decisions of variance swaps: evidence from a three-factor model

DOI10.1016/j.ejor.2022.03.007OpenAlexW4220681331WikidataQ114670149 ScholiaQ114670149MaRDI QIDQ2158056

Xing Jin, Yi Hong

Publication date: 22 July 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2022.03.007

zbMATH Keywords

financevariance risk premiumself-exciting jumpsvariance swap ratesvariance swap investments

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Variance swap with mean reversion, multifactor stochastic volatility and jumps
• Do price and volatility jump together?
• Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
• Testing for self-excitation in jumps
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
• The term structure of equity and variance risk premia
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
• Simulation Run Length Control in the Presence of an Initial Transient
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Bayesian Measures of Model Complexity and Fit
• A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES

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