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

DOI10.1007/S10479-018-2941-9zbMATH Open1430.91104OpenAlexW2810632803WikidataQ129609350 ScholiaQ129609350MaRDI QIDQ2288922FDOQ2288922

Authors: Juan-Pablo Ortega, Alexandru Badescu, Zhenyu 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

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zbMATH Keywords

variance swapsdiffusion limitsrealized varianceaffine GARCH modelsvariance dependent pricing kernels

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Smile from the past: a general option pricing framework with multiple volatility and leverage components
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Cited In (10)

• Variance swaps valuation under non-affine GARCH models and their diffusion limits
• Expected utility theory on general affine GARCH models
• Variance and volatility swaps valuations with the stochastic liquidity risk
• Optimal consumption and investment in general affine GARCH models
• A Markov chain approximation scheme for option pricing under skew diffusions
• Volatility GARCH models with the ordered weighted average (OWA) operators
• Option pricing with conditional GARCH models
• Model risk in the over-the-counter market
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
• An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility

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