A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model
Sign Up to like & getrecommendations! Published in 2021 at "Computational Economics"
DOI: 10.1007/s10614-021-10214-6
Abstract: As is well known, multi-factor stochastic volatility models are necessary to capture the market accurately in pricing financial derivatives. However, the multi-factor models usually require too many parameters to be calibrated efficiently and they do… read more here.
Keywords: closed form; variance swaps; heston model; double heston ... See more keywords
A closed-form pricing formula for variance swaps under MRG–Vasicek model
Sign Up to like & getrecommendations! Published in 2019 at "Computational and Applied Mathematics"
DOI: 10.1007/s40314-019-0905-6
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… read more here.
Keywords: formula; vasicek model; variance swaps; pricing ... See more keywords
Variance risk in commodity markets
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DOI: 10.1016/j.jbankfin.2017.05.003
Abstract: We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity… read more here.
Keywords: risk commodity; variance risk; variance swaps; commodity markets ... See more keywords
An analytical approach for variance swaps with an Ornstein-Uhlenbeck process
Sign Up to like & getrecommendations! Published in 2017 at "Anziam Journal"
DOI: 10.21914/anziamj.v59i0.11489
Abstract: Pricing variance swaps have become a popular subject recently, and most research of this type come under Heston’s two-factor model. This paper is an extension of some recent research which used the dimension-reduction technique based… read more here.
Keywords: analytical approach; uhlenbeck process; ornstein uhlenbeck; variance swaps ... See more keywords