Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

DOI10.1080/13504860601170609zbMATH Open1141.91015OpenAlexW2061128599MaRDI QIDQ5459531FDOQ5459531

Authors: Fred Espen Benth, Martin Groth, Rodwell Kufakunesu 

Publication date: 29 April 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860601170609

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zbMATH Keywords

Laplace transformriskheading contractsLevy procesesrealized volatility, stochastic volatility

Mathematics Subject Classification ID

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Processes of normal inverse Gaussian type
• THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Superposition of Ornstein-Uhlenbeck type processes
• The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model
• Pricing options on realized variance
• Term structure models driven by general Lévy processes
• The Valuation of Volatility Options
• On the pricing and hedging of volatility derivatives
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps

Cited In (33)

• Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process
• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
• Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes
• The VIX and future information
• Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
• Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
• Approximate option pricing formula for Barndorff-Nielsen and Shephard model
• Correlators of polynomial processes
• Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
• COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES
• Exact simulation of tempered stable Ornstein--Uhlenbeck processes
• A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions
• The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets
• Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
• VIX MODELING FOR A MARKET INSIDER
• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
• Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
• Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
• A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models
• Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
• Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
• Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
• On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures
• Prices and asymptotics for discrete variance swaps
• Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
• Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
• Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case
• Generalized BN-S stochastic volatility model for option pricing
• Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
• Pricing options on variance in affine stochastic volatility models

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