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

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

Authors: 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

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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 (23)

• A closed-form pricing formula for variance swaps under MRG-Vasicek model
• Pricing and risk management of interest rate swaps
• Simple analytical formulas for pricing and hedging moment swaps
• 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 exotic discrete variance swaps under the 3/2-stochastic volatility models
• Volatility swaps and volatility options on discretely sampled realized variance
• Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate
• Pricing variance swaps under hybrid CEV and stochastic volatility
• Pricing discretely-sampled variance swaps on commodities
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
• Discretely sampled variance and volatility swaps versus their continuous approximations
• A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model
• An analytical option pricing formula for mean-reverting asset with time-dependent parameter
• A closed-form formula for pricing variance swaps on commodities
• On the valuation of variance swaps with stochastic volatility
• Pricing variance swaps under subordinated Jacobi stochastic volatility models
• Pricing forward-start variance swaps with stochastic volatility
• A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL
• An analytical approach for variance swaps with an Ornstein-Uhlenbeck process
• 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
• Analytically pricing volatility swaps under stochastic volatility

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