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

DOI10.1016/J.MATCOM.2014.09.004MaRDI QIDQ2228592zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 2120951 (Why is no real title available?)
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A low-bias simulation scheme for the SABR stochastic volatility model
• Differential evolution. A practical approach to global optimization. With CD-ROM.
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Simulation of the CEV process and the local martingale property
• Stochastic calculus for finance. II: Continuous-time models.
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
• The asymptotic expansion approach to the valuation of interest rate contingent claims
• The pricing of options and corporate liabilities

Cited in

(2)

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

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