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

DOI10.1017/S144618111400011XMaRDI QIDQ2925697zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(8)

• A closed-form pricing formula for variance swaps under MRG-Vasicek model
• Closed form pricing formulas for discretely sampled generalized variance swaps
• A closed-form expansion approach for pricing discretely monitored variance swaps
• A closed-form formula for pricing variance swaps on commodities
• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
• Pricing variance swaps under subordinated Jacobi stochastic volatility models
• 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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