A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility

DOI10.1016/J.AML.2012.01.029zbMATH Open1260.91102OpenAlexW2049523784MaRDI QIDQ712573FDOQ712573

Sanae Rujivan, Song-Ping Zhu

Publication date: 17 October 2012

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2012.01.029

zbMATH Keywords

stochastic volatilityvariance swapsexplicit formulaHeston modelclosed-form exact solution

Mathematics Subject Classification ID

Cites Work

• A theory of the term structure of interest rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
• 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?)
• Moment swaps
• Pricing variance swaps for stochastic volatilities with delay and jumps

Cited In (17)

• A closed-form pricing formula for variance swaps under MRG-Vasicek model
• Pricing and risk management of interest rate swaps
• AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER
• A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility
• Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
• Pricing variance swaps under hybrid CEV and stochastic volatility
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
• A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model
• A closed-form formula for pricing variance swaps on commodities
• AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS
• Pricing variance swaps under subordinated Jacobi stochastic volatility models
• Title not available (Why is that?)
• Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
• A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL
• PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE
• A superconvergent partial differential equation approach to price variance swaps under regime switching models
• 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

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