Saddlepoint approximation methods for pricing derivatives on discrete realized variance
From MaRDI portal
Publication:4585899
Recommendations
- Asymptotic and exact pricing of options on variance
- Pricing options on discrete realized variance with partially exact and bounded approximations
- Saddlepoint approximations to option prices
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
- Saddlepoint methods for option pricing
Cites work
- A closed-form exact solution for pricing variance swaps with stochastic volatility
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Asymptotic and exact pricing of options on variance
- Closed form pricing formulas for discretely sampled generalized variance swaps
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Exact simulation of the 3/2 model
- Higher-Order Asymptotic Approximation: Laplace, Saddlepoint, and Related Methods
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- Pricing options on realized variance
- Pricing options on variance in affine stochastic volatility models
- Saddle point approximation for the distribution of the sum of independent random variables
- Saddlepoint Approximations in Statistics
- Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
- Saddlepoint Approximations with Applications
- Saddlepoint approximations
- Saddlepoint approximations for affine jump-diffusion models
- Saddlepoint approximations for continuous-time Markov processes
- Saddlepoint approximations for expectations and an application to CDO pricing
- Saddlepoint approximations to option price in a general equilibrium model
- Saddlepoint approximations to option prices
- Saddlepoint methods for option pricing
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
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
This page was built for publication: Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4585899)
