PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS

DOI10.1111/j.1467-9965.2010.00447.xzbMath1239.91164OpenAlexW1554683342MaRDI 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 volatilityleverage effectquadratic variationrealized varianceaffine processLaplace transform approachvolatility swap

Mathematics Subject Classification ID

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

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Cites Work

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• Mixed characteristic homological theorems in low degrees.
• Affine processes and applications in finance
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Moment swaps
• Valuation of volatility derivatives as an inverse problem
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

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