Variance swaps valuation under non-affine GARCH models and their diffusion limits

DOI10.1080/14697688.2018.1478120MaRDI QIDQ5234288zbMATH OpenOpenAlexFDO

Authors Yuyu Chen, Matthew Couch, Alexandru Badescu, Zhenyu 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

zbMATH Keywords

CBOE VIXdiffusion limitsextended Girsanov principlenon-Gaussian GARCH modelsvariance swaps

Mathematics Subject Classification ID

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)

Recommendations

• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
• GARCH and volatility swaps
• Non-Gaussian GARCH option pricing models and their diffusion limits
• Closed form pricing formulas for discretely sampled generalized variance swaps
• Pricing variance swaps with stochastic volatility under jump-diffusion

Cites work

• A closed-form exact solution for pricing variance swaps with stochastic volatility
• A Discrete Time Equivalent Martingale Measure
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
• ARCH models as diffusion approximations
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Discretely sampled variance and volatility swaps versus their continuous approximations
• GARCH options via local risk minimization
• Generalized autoregressive conditional heteroscedasticity
• Modeling and Forecasting Realized Volatility
• Modeling and pricing of swaps for financial and energy markets with stochastic volatilities
• Non-Gaussian GARCH option pricing models and their diffusion limits
• Numerical Methods and Volatility Models for Valuing Cliquet Options
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• Option valuation with conditional skewness
• Option valuation with IG-GARCH model and a U-shaped pricing kernel
• Prices and asymptotics for discrete variance swaps
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
• Quadratic hedging schemes for non-Gaussian GARCH models
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• THE GARCH OPTION PRICING MODEL
• The term structure of equity and variance risk premia
• Variance trading and market price of variance risk

Cited in

(8)

• 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
• Option valuation with IG-GARCH model and a U-shaped pricing kernel
• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
• Non-Gaussian GARCH option pricing models and their diffusion limits
• GARCH and volatility swaps
• A Markov chain approximation scheme for option pricing under skew diffusions
• An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility

This page was built for publication: Variance swaps valuation under non-affine GARCH models and their diffusion limits

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5234288)