A closed-form formula for pricing variance swaps on commodities

DOI10.1007/S10013-016-0224-9zbMATH Open1366.91156OpenAlexW2524495432MaRDI QIDQ2360087FDOQ2360087

Authors: Anurak Weraprasertsakun, Sanae Rujivan 

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

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zbMATH Keywords

variance swapsdiscrete samplingcommodity pricesSchwartz's model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• A closed-form exact solution for pricing variance swaps with stochastic volatility
• A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
• Towards a theory of volatility trading
• Closed form pricing formulas for discretely sampled generalized variance swaps
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• An efficient control variate method for pricing variance derivatives
• Pricing volatility derivatives under the modified constant elasticity of variance model

Cited In (8)

• A closed-form pricing formula for variance swaps under MRG-Vasicek model
• Simple analytical formulas for pricing and hedging moment swaps
• A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility
• Pricing discretely-sampled variance swaps on commodities
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
• An analytical option pricing formula for mean-reverting asset with time-dependent parameter
• Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields
• Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes

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