Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance

DOI10.1007/S40314-022-01939-7MaRDI QIDQ2167364zbMATH OpenOpenAlexWikidataFDO

Authors Youngin Yoon, Jun-Ho Seo, Jeong-Hoon Kim

Publication date 25 August 2022

Published in Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40314-022-01939-7

zbMATH Keywords

He-Chen modelHeston modellong-run mean of variancerDMR modelvariance swap

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(3)

• Closed-form convexity and cross-convexity adjustments for Heston prices
• An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility
• Robust and accurate reconstruction of the time-dependent continuous volatility from option prices

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