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In this paper, the pricing problems of variance swaps with discrete sampling times are studied, where the volatility of underlying assets follows a mean-reverting Gaussian (MRG in short) process, and… Click to show full abstract
In this paper, the pricing problems of variance swaps with discrete sampling times are studied, where the volatility of underlying assets follows a mean-reverting Gaussian (MRG in short) process, and the instantaneous interest rate is described by classical Vasicek model. By using measure transformation, Feynman–Kac formula and Fourier transform algorithm, a closed-form analytic pricing formula for variance swaps with the actual-return realized variance is presented.
Keywords:
formula;
vasicek model;
variance swaps;
pricing;
variance;
closed form
Journal Title: Computational and Applied Mathematics
Year Published: 2019
Link to full text (if available)
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Journal Title: Computational and Applied Mathematics
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!