PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS

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

zbMATH Keywords

stochastic volatility; leverage effect; quadratic variation; realized variance; affine process; Laplace transform approach; volatility swap

Mathematics Subject Classification ID

60E10: Characteristic functions; other transforms

60G48: Generalizations of martingales

91G20: Derivative securities (option pricing, hedging, etc.)

60H05: Stochastic integrals

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