Variance swap with mean reversion, multifactor stochastic volatility and jumps
DOI10.1016/J.EJOR.2015.03.026zbMATH Open1346.91239DBLPjournals/eor/PunCW15OpenAlexW1995216113WikidataQ58980818 ScholiaQ58980818MaRDI QIDQ319633FDOQ319633
Hoi Ying Wong, Chi Seng Pun, Shing Fung Chung
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10220/40730
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Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)
Cites Work
- A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Do price and volatility jump together?
- Option pricing with mean reversion and stochastic volatility
- On the Number of State Variables in Options Pricing
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
Cited In (24)
- Variance swaps with mean reversion and multi-factor variance
- Analytic solutions for variance swaps with double-mean-reverting volatility
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
- Robust time-inconsistent stochastic control problems
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Variance swaps under multiscale stochastic volatility of volatility
- VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL
- Robust non-zero-sum stochastic differential reinsurance game
- An explicitly solvable Heston model with stochastic interest rate
- Modeling and forecasting exchange rate volatility in time-frequency domain
- A practical finite difference method for the three-dimensional Black-Scholes equation
- An investigation of model risk in a market with jumps and stochastic volatility
- Pricing of variance swap rates and investment decisions of variance swaps: evidence from a three-factor model
- Pricing variance swaps under subordinated Jacobi stochastic volatility models
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
- Model risk in the over-the-counter market
- Smiles \& smirks: volatility and leverage by jumps
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
- Variance swaps under the threshold Ornstein–Uhlenbeck model
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Robust classical-impulse stochastic control problems in an infinite horizon
- Static Replication of Forward-Start Claims and Realized Variance Swaps
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
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