Closed-form variance swap prices under general affine GARCH models and their continuous-time limits

DOI10.1007/s10479-018-2941-9zbMath1430.91104MaRDI QIDQ2288922

Juan-Pablo Ortega, Alexandru M. Badescu, Zhen-Yu Cui

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2941-9

zbMATH Keywords

variance swaps; diffusion limits; realized variance; affine GARCH models; variance dependent pricing kernels

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

A Markov chain approximation scheme for option pricing under skew diffusions, Expected Utility Theory on General Affine GARCH Models, EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE, Volatility GARCH models with the ordered weighted average (OWA) operators, Option pricing with conditional GARCH models, Variance and volatility swaps valuations with the stochastic liquidity risk, Model risk in the over-the-counter market

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