Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 13 (2010)
Issue (Month): 2 (July)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=102989
Variance swaps; Volatility swaps; Options; Levy models; Stochastic time change; Asymptotic method; Closed-form solution; Pricing; C63; C65;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carr, Peter & Wu, Liuren, 2004.
"Time-changed Levy processes and option pricing,"
Journal of Financial Economics,
Elsevier, vol. 71(1), pages 113-141, January.
- Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, July.
- Peter Carr & Hélyette Geman & Dilip Madan & Marc Yor, 2005. "Pricing options on realized variance," Finance and Stochastics, Springer, vol. 9(4), pages 453-475, October.
- Peter Carr & Jian Sun, 2007. "A new approach for option pricing under stochastic volatility," Review of Derivatives Research, Springer, vol. 10(2), pages 87-150, May.
- Wim Schoutens, 2005. "Moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 525-530.
- Damir Filipovic, 2001. "A general characterization of one factor affine term structure models," Finance and Stochastics, Springer, vol. 5(3), pages 389-412.
- Jan Baldeaux & Dale Roberts, 2012.
"Quasi-Monte Carol Methods for the Heston Model,"
Research Paper Series
307, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jan Baldeaux & Alexander Badran, 2012.
"Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model,"
Research Paper Series
306, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Papers 1203.5903, arXiv.org, revised Aug 2012.
- Andrey Itkin, 2013.
"New solvable stochastic volatility models for pricing volatility derivatives,"
Review of Derivatives Research,
Springer, vol. 16(2), pages 111-134, July.
- Andrey Itkin, 2012. "New solvable stochastic volatility models for pricing volatility derivatives," Papers 1205.3550, arXiv.org, revised Jun 2012.
- Carole Bernard & Zhenyu Cui, 2013. "Prices and Asymptotics for Discrete Variance Swaps," Papers 1305.7092, arXiv.org.
- Leunglung Chan & Eckhard Platen, 2010. "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers 1007.2968, arXiv.org, revised Jan 2011.
- Akira Yamazaki, 2014. "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 17(1), pages 79-111, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.