A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility

DOI10.1017/S144618111400011XzbMATH Open1306.91144OpenAlexW2104411606MaRDI QIDQ2925697FDOQ2925697

Authors: Li-Wei Zhang 

Publication date: 17 October 2014

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s144618111400011x

Recommendations

• A closed-form pricing formula for variance swaps under MRG-Vasicek model
• A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model
• An analytical approach for variance swaps with an Ornstein-Uhlenbeck process
• On the valuation of variance swaps with stochastic volatility
• A closed-form formula for pricing variance swaps on commodities

zbMATH Keywords

closed-form solutionvariance swapsdiscrete samplingmean-reverting Gaussian volatility model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An equilibrium characterization of the term structure
• Stochastic differential equations. An introduction with applications.
• ARCH models as diffusion approximations
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Probability with Martingales
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
• Pairs trading
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• On the pricing and hedging of volatility derivatives
• Moment swaps

Cited In (4)

• A closed-form pricing formula for variance swaps under MRG-Vasicek model
• AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS
• Pricing variance swaps under subordinated Jacobi stochastic volatility models
• An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility

This page was built for publication: A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2925697)