A closed-form pricing formula for variance swaps under MRG-Vasicek model

DOI10.1007/S40314-019-0905-6MaRDI QIDQ2322792zbMATH OpenOpenAlexFDO

Authors Yuecai Han, Longxiao Zhao

Publication date 5 September 2019

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

Full work available at URL https://doi.org/10.1007/s40314-019-0905-6

zbMATH Keywords

Fourier transformvariance swapsrealized variancemean-reverting Gaussian volatility modelVasicek interest rate model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A closed-form exact solution for pricing variance swaps with stochastic volatility
• A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• An equilibrium characterization of the term structure
• Discretely sampled variance and volatility swaps versus their continuous approximations
• Interest rate models -- theory and practice. With smile, inflation and credit
• Multiscale Stochastic Volatility Asymptotics
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• On cross-currency models with stochastic volatility and correlated interest rates
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• Prices and asymptotics for discrete variance swaps
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• Stock price distributions with stochastic volatility: an analytic approach
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Variance swaps on time-changed Lévy processes

Cited in

(7)

• Analytic solutions for variance swaps with double-mean-reverting volatility
• A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility
• Pricing variance swaps on time-changed Markov processes
• Calibrating fractional Vasicek model
• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
• An analytical approach for variance swaps with an Ornstein-Uhlenbeck process
• An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility

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