Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process

DOI10.1007/s11424-015-3165-6zbMath1333.91055OpenAlexW2345857373MaRDI QIDQ256762

Shuguang Zhang, Xiuchun Bi, Zhaoli Jia

Publication date: 10 March 2016

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-015-3165-6

zbMATH Keywords

stochastic volatilityclosed-form solutionOrnstein-Uhlenbeck processvariance swaps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Pricing variance swaps under subordinated Jacobi stochastic volatility models, AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS

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