A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL
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Publication:2929384
DOI10.1017/S1446181114000236zbMath1298.91169OpenAlexW2153306091MaRDI QIDQ2929384
Publication date: 12 November 2014
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1446181114000236
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (11)
PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE ⋮ Closed-form formula for conditional moments of generalized nonlinear drift CEV process ⋮ A closed-form formula for the conditional moments of the extended CIR process ⋮ APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL ⋮ A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL ⋮ AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS ⋮ Unnamed Item ⋮ A superconvergent partial differential equation approach to price variance swaps under regime switching models ⋮ AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER ⋮ Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives ⋮ Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
Cites Work
- The Pricing of Options and Corporate Liabilities
- A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Discretely sampled variance and volatility swaps versus their continuous approximations
- On the valuation of variance swaps with stochastic volatility
- Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
- A Theory of the Term Structure of Interest Rates
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stochastic differential equations. An introduction with applications.
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