THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS

DOI10.1142/S0219024909005403MaRDI QIDQ3643591zbMATH OpenOpenAlexFDO

Authors Richard Jordan, Charles Tier

Publication date 9 November 2009

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024909005403

zbMATH Keywords

asymptotic methodsCEV processlog contractvariance swap

Mathematics Subject Classification ID

Asymptotic expansions of solutions to ordinary differential equations (34E05) Stochastic integrals (60H05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A fuzzy approach to construction project risk assessment and analysis: Construction project risk management system
• A jump to default extended CEV model: an application of Bessel processes
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
• Advanced derivatives pricing risk management.
• Equivalent Black volatilities
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• Matched asymptotic expansions in financial engineering
• Moment swaps
• On the pricing and hedging of volatility derivatives
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Volatility skews and extensions of the Libor market model

Cited in

(10)

• Pricing volatility derivatives under the modified constant elasticity of variance model
• 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
• Pricing variance swaps under hybrid CEV and stochastic volatility
• A path-independent approach to integrated variance under the CEV model
• Asymptotic approximations for pricing derivatives under mean-reverting processes
• Model-independent lower bound on variance swaps
• Empirical analysis and calibration of the CEV process for pricing equity default swaps
• Multi-asset stochastic local variance contracts
• Simple analytical formulas for pricing and hedging moment swaps
• WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?

Describes a project that uses

Uses Software

• Mathematica

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