A closed-form exact solution for pricing variance swaps with stochastic volatility
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Publication:3084598
DOI10.1111/J.1467-9965.2010.00436.XzbMATH Open1214.91115OpenAlexW3123121933MaRDI QIDQ3084598FDOQ3084598
Authors: Guang-Hua Lian, Song-Ping Zhu 
Publication date: 25 March 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10292/1689
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Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial applications of other theories (91G80)
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Cited In (57)
- Variance swaps with mean reversion and multi-factor variance
- Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
- APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL
- An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility
- A closed-form pricing formula for variance swaps under MRG-Vasicek model
- Variance swaps valuation under non-affine GARCH models and their diffusion limits
- Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process
- Saddlepoint approximation methods for pricing derivatives on discrete realized variance
- Simple analytical formulas for pricing and hedging moment swaps
- A path-independent approach to integrated variance under the CEV model
- A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
- Pricing generalized variance swaps under the Heston model with stochastic interest rates
- Stochastic elasticity of vol-of-vol and pricing of variance swaps
- Analytic solutions for variance swaps with double-mean-reverting volatility
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
- A closed-form expansion approach for pricing discretely monitored variance swaps
- Volatility swaps and volatility options on discretely sampled realized variance
- Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
- Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
- Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching
- Pricing variance swaps under hybrid CEV and stochastic volatility
- Solution of the fractional Black-Scholes option pricing model by finite difference method
- Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
- Variance and volatility swaps valuations with the stochastic liquidity risk
- Variance swaps under the threshold Ornstein-Uhlenbeck model
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
- Variance swaps under multiscale stochastic volatility of volatility
- A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model
- A closed-form formula for pricing variance swaps on commodities
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
- Variance swap with mean reversion, multifactor stochastic volatility and jumps
- Model-independent hedging strategies for variance swaps
- On the valuation of variance swaps with stochastic volatility
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
- Variance swap pricing under Markov-modulated jump-diffusion model
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion
- Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
- Pricing variance swaps under subordinated Jacobi stochastic volatility models
- Pricing forward-start variance swaps with stochastic volatility
- Pricing VIX options with stochastic volatility and random jumps
- MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS
- On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures
- Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
- Catastrophe equity put options with target variance
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
- An analytical approach for variance swaps with an Ornstein-Uhlenbeck process
- Prices and asymptotics for discrete variance swaps
- A superconvergent partial differential equation approach to price variance swaps under regime switching models
- Pricing variance swaps for stochastic volatilities with delay and jumps
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Variance-optimal hedging for target volatility options
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
- Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- Analytically pricing volatility swaps under stochastic volatility
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