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Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity

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Listed:
  • Ben-zhang Yang
  • Jia Yue
  • Ming-hui Wang
  • Nan-jing Huang

Abstract

In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation is obtained to derive the joint moment generating function of the previous model. Moreover, discrete and continuous sampled volatility swap pricing formulas are given by employing transform techniques and the relationship between two pricing formulas is discussed. Finally, some numerical simulations are reported to support the results presented in this paper.

Suggested Citation

  • Ben-zhang Yang & Jia Yue & Ming-hui Wang & Nan-jing Huang, 2018. "Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity," Papers 1805.06226, arXiv.org, revised May 2018.
    • Handle: RePEc:arx:papers:1805.06226
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    References listed on IDEAS

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