Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models

DOI10.1007/978-3-319-45875-5_11MaRDI QIDQ4976502zbMATH OpenOpenAlexFDO

Authors Giso Jahncke, Jan Kallsen

Publication date 31 July 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-45875-5_11

zbMATH Keywords

approximationLévy processesoption pricingrealized variance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Asymptotic and exact pricing of options on variance
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• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 1022658 (Why is no real title available?)
• Moment explosions and long-term behavior of affine stochastic volatility models
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Option pricing when underlying stock returns are discontinuous
• Prehistory of Faà   di Bruno's Formula
• Pricing options on realized variance
• Saddlepoint approximation methods for pricing derivatives on discrete realized variance
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Valuation of volatility derivatives as an inverse problem
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

Cited in

(3)

• On the approximation of the Black and Scholes call function
• Pricing options on realized variance
• Pricing options on variance in affine stochastic volatility models

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