Variance swap with mean reversion, multifactor stochastic volatility and jumps

DOI10.1016/J.EJOR.2015.03.026MaRDI QIDQ319633zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Chi Seng Pun, Shing Fung Chung, Hoi Ying Wong

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

zbMATH Keywords

jump diffusionpricingmean reversionmulti-factor stochastic volatilityvariance swap

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A closed-form exact solution for pricing variance swaps with stochastic volatility
• Do price and volatility jump together?
• On the number of state variables in options pricing
• Option pricing with mean reversion and stochastic volatility
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(24)

• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
• 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 the threshold Ornstein-Uhlenbeck model
• 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
• 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
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
• Static Replication of Forward-Start Claims and Realized Variance Swaps

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