A superconvergent partial differential equation approach to price variance swaps under regime switching models

DOI10.1016/J.CAM.2016.09.001zbMATH Open1356.91097OpenAlexW2522367043WikidataQ115359814 ScholiaQ115359814MaRDI QIDQ507897FDOQ507897

Authors: Mehzabeen Jumanah Dilloo, Désiré Yannick Tangman 

Publication date: 9 February 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.09.001

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zbMATH Keywords

finite differencevariance swapsstochastic volatility modelregime switching modelsexponential time integrationMerton's jump-diffusion model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cites Work

• The pricing of options and corporate liabilities
• Financial Modelling with Jump Processes
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• On the valuation of variance swaps with stochastic volatility
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
• New solvable stochastic volatility models for pricing volatility derivatives
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Talbot quadratures and rational approximations
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Option pricing under regime-switching jump-diffusion models
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• Volatility swaps and volatility options on discretely sampled realized variance
• A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model
• GARCH and volatility swaps
• Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
• A superconvergent partial differential equation approach to price variance swaps under regime switching models
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case

Cited In (1)

• A superconvergent partial differential equation approach to price variance swaps under regime switching models

Uses Software

• Matlab

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