Variance swaps valuation under non-affine GARCH models and their diffusion limits
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Publication:5234288
DOI10.1080/14697688.2018.1478120zbMath1420.91443OpenAlexW2885603959MaRDI QIDQ5234288
Yuyu Chen, Matthew Couch, Alexandru M. Badescu, Zhen-Yu Cui
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2018.1478120
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Option valuation with IG-GARCH model and a U-shaped pricing kernel ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ A Markov chain approximation scheme for option pricing under skew diffusions
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