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

DOI10.1016/J.CAM.2016.09.001MaRDI QIDQ507897zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
• A superconvergent partial differential equation approach to price variance swaps under regime switching models
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Financial Modelling with Jump Processes
• GARCH and volatility swaps
• New solvable stochastic volatility models for pricing volatility derivatives
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• Option pricing under regime-switching jump-diffusion models
• Option pricing when underlying stock returns are discontinuous
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Talbot quadratures and rational approximations
• The dynamics of stochastic volatility: evidence from underlying and options markets
• The pricing of options and corporate liabilities
• Volatility swaps and volatility options on discretely sampled realized variance

Cited in

(1)

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

Describes a project that uses

Uses Software

• Matlab

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