A closed-form pricing formula for variance swaps under MRG-Vasicek model
DOI10.1007/S40314-019-0905-6zbMATH Open1438.91151OpenAlexW2963181853MaRDI QIDQ2322792FDOQ2322792
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
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Fourier transformvariance swapsrealized variancemean-reverting Gaussian volatility modelVasicek interest rate model
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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- Discretely sampled variance and volatility swaps versus their continuous approximations
- Pricing forward-start variance swaps with stochastic volatility
- A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility
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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