Pricing options on variance in affine stochastic volatility models

DOI10.1111/J.1467-9965.2010.00447.XzbMATH Open1239.91164OpenAlexW1554683342MaRDI QIDQ3100749FDOQ3100749

Authors: Jan Kallsen, Johannes Muhle-Karbe, Moritz Voß 

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

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zbMATH Keywords

leverage effectquadratic variationstochastic volatilityrealized varianceaffine processLaplace transform approachvolatility swap

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Generalizations of martingales (60G48) Stochastic integrals (60H05)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Title not available (Why is that?)
• Affine processes and applications in finance
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
• Title not available (Why is that?)
• Moment swaps
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
• Valuation of volatility derivatives as an inverse problem
• Mixed characteristic homological theorems in low degrees.

Cited In (37)

• Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
• Variational Analysis for Options with Stochastic Volatility and Multiple Factors
• PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS
• Volatility swaps and volatility options on discretely sampled realized variance
• On the multiplicity of option prices under CEV with positive elasticity of variance
• Quadratic hedging in affine stochastic volatility models
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
• Bessel processes, stochastic volatility, and timer options
• Weak approximations and VIX option price expansions in forward variance curve models
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
• Root's barrier: construction, optimality and applications to variance options
• Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
• Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
• An efficient exponential twisting importance sampling technique for pricing financial derivatives
• Pricing options on discrete realized variance with partially exact and bounded approximations
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
• The rough Hawkes Heston stochastic volatility model
• The Alpha‐Heston stochastic volatility model
• Pricing VIX options with stochastic volatility and random jumps
• Orthogonal expansions for VIX options under affine jump diffusions
• Options on realized variance by transform methods: a non-affine stochastic volatility model
• A didactic note on affine stochastic volatility models
• Asymptotic and exact pricing of options on variance
• Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
• Pricing options on realized variance
• Exact simulation of Ornstein–Uhlenbeck tempered stable processes
• Smiles \& smirks: volatility and leverage by jumps
• Pricing variance swaps for stochastic volatilities with delay and jumps
• CBI-time-changed Lévy processes
• A variational approach for pricing options and corporate bounds
• Exact simulation of a truncated Lévy subordinator
• Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
• Pricing of bond options. Unspanned stochastic volatility and random field models.
• Analytically pricing European options with a two-factor Stein-Stein model

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