A path-independent approach to integrated variance under the CEV model

DOI10.1016/J.MATCOM.2014.09.004OpenAlexW2036016933MaRDI QIDQ2228592FDOQ2228592

Authors: Hengxu Wang, John O'Hara, Nick Constantinou 

Publication date: 19 February 2021

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

Full work available at URL: http://repository.essex.ac.uk/11941/1/CCFEA-WP067-13.pdf

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zbMATH Keywords

CEV processBrownian bridgerealized varianceconditional Monte-Carlo simulationsmall disturbance asymptotic expansion

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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
• Stochastic calculus for finance. II: Continuous-time models.
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Title not available (Why is that?)
• Differential evolution. A practical approach to global optimization. With CD-ROM.
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• The asymptotic expansion approach to the valuation of interest rate contingent claims
• Simulation of the CEV process and the local martingale property
• Title not available (Why is that?)
• A low-bias simulation scheme for the SABR stochastic volatility model
• THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS

Cited In (2)

• Pricing variance swaps under hybrid CEV and stochastic volatility
• Pathwise CVA regressions with oversimulated defaults

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