PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
From MaRDI portal
Publication:3100749
DOI10.1111/j.1467-9965.2010.00447.xzbMath1239.91164MaRDI QIDQ3100749
Moritz Voß, Jan Kallsen, Johannes Muhle-Karbe
Publication date: 21 November 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://macau.uni-kiel.de/servlets/MCRFileNodeServlet/macau_derivate_00000074/qvaffine.pdf
stochastic volatility; leverage effect; quadratic variation; realized variance; affine process; Laplace transform approach; volatility swap
60E10: Characteristic functions; other transforms
60G48: Generalizations of martingales
91G20: Derivative securities (option pricing, hedging, etc.)
60H05: Stochastic integrals
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