Saddlepoint approximation methods for pricing derivatives on discrete realized variance
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Publication:4585899
DOI10.1080/1350486X.2013.780770zbMATH Open1396.91773OpenAlexW1984228284WikidataQ60148436 ScholiaQ60148436MaRDI QIDQ4585899FDOQ4585899
Authors: Wendong Zheng, Yue Kuen Kwok 
Publication date: 11 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2013.780770
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Cites Work
- Saddlepoint Approximations with Applications
- Saddlepoint Approximations in Statistics
- A closed-form exact solution for pricing variance swaps with stochastic volatility
- Saddle point approximation for the distribution of the sum of independent random variables
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Saddlepoint approximations to option prices
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- Saddlepoint approximations to option price in a general equilibrium model
- Saddlepoint approximations for continuous-time Markov processes
- Saddlepoint approximations
- Saddlepoint methods for option pricing
- Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
- Pricing options on realized variance
- Closed form pricing formulas for discretely sampled generalized variance swaps
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- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- Pricing options on variance in affine stochastic volatility models
- Higher-Order Asymptotic Approximation: Laplace, Saddlepoint, and Related Methods
- Asymptotic and exact pricing of options on variance
- Saddlepoint approximations for expectations and an application to CDO pricing
- Exact simulation of the 3/2 model
Cited In (7)
- Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
- Stochastic elasticity of vol-of-vol and pricing of variance swaps
- Volatility swaps and volatility options on discretely sampled realized variance
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
- Pricing options on discrete realized variance with partially exact and bounded approximations
- PRICING AND HEDGING OF VIX DERIVATIVES IN MODIFIED STOCHASTIC MODELS
- Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models
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