We consider pricing of various types of exotic discrete variance swaps, like the gamma swaps and corridor variance swaps, under the 3/2-stochastic volatility models with jumps in asset price. The class of stochastic volatility models (SVM) that use a constant-elasticity-of-variance (CEV) process for the instantaneous variance exhibit nice analytical tractability only when the CEV parameter takes just a few special values (namely, 0, 1/2, 1 and 3/2). The popular Heston model corresponds to the choice of the CEV parameter to be 1/2. However, the stochastic volatility dynamics implied by the Heston model fails to capture some important empirical features of the market data. The choice of 3/2 for the CEV parameter in the SVM shows better agreem...
This paper investigates the pricing and hedging of variance swaps under a $3/2$ volatility model. Ex...
In this paper, the pricing problem of variance and volatility swaps is discussed under a two-factor ...
A model is developed for pricing volatility derivatives, such as variance swaps and volatility swaps...
We develop a simplified analytical approach for pricing discretely-sampled variance swaps with the r...
Most of the existing pricing models of variance derivative products assume continuous sampling of th...
In this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic vol...
Most of the existing pricing models of variance derivative products assume contin-uous sampling of t...
This study presents a set of closed-form exact solutions for pricing discretely sampled variance swa...
In this dissertation, the price of variance swaps under stochastic volatility models based on the w...
Abstract—Following the pricing approach proposed by Zhu & Lian [19], we present an exact solutio...
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybri...
Pricing of volatility derivatives using 3/2-stochastic models Analytic solutions are found for price...
The problem of pricing discretely-sampled variance swaps under stochastic volatility, stochastic int...
© 2014 Elsevier B.V. This paper investigates the pricing and hedging of variance swaps under a 3/2 v...
In this paper, we present a highly efficient approach to price variance swaps with discrete sampling...
This paper investigates the pricing and hedging of variance swaps under a $3/2$ volatility model. Ex...
In this paper, the pricing problem of variance and volatility swaps is discussed under a two-factor ...
A model is developed for pricing volatility derivatives, such as variance swaps and volatility swaps...
We develop a simplified analytical approach for pricing discretely-sampled variance swaps with the r...
Most of the existing pricing models of variance derivative products assume continuous sampling of th...
In this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic vol...
Most of the existing pricing models of variance derivative products assume contin-uous sampling of t...
This study presents a set of closed-form exact solutions for pricing discretely sampled variance swa...
In this dissertation, the price of variance swaps under stochastic volatility models based on the w...
Abstract—Following the pricing approach proposed by Zhu & Lian [19], we present an exact solutio...
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybri...
Pricing of volatility derivatives using 3/2-stochastic models Analytic solutions are found for price...
The problem of pricing discretely-sampled variance swaps under stochastic volatility, stochastic int...
© 2014 Elsevier B.V. This paper investigates the pricing and hedging of variance swaps under a 3/2 v...
In this paper, we present a highly efficient approach to price variance swaps with discrete sampling...
This paper investigates the pricing and hedging of variance swaps under a $3/2$ volatility model. Ex...
In this paper, the pricing problem of variance and volatility swaps is discussed under a two-factor ...
A model is developed for pricing volatility derivatives, such as variance swaps and volatility swaps...