A closed-form formula for pricing variance swaps on commodities

DOI10.1007/s10013-016-0224-9zbMath1366.91156MaRDI QIDQ2360087

Sanae Rujivan, Anurak Weraprasertsakun

Publication date: 23 June 2017

Published in: Vietnam Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10013-016-0224-9

zbMATH Keywords

commodity prices; variance swaps; discrete sampling; Schwartz's model

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

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

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Cites Work

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• CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY