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Variance swaps on time-changed Lévy processes

Author

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  • Peter Carr

    ()

  • Roger Lee

    ()

  • Liuren Wu

    ()

Abstract

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Suggested Citation

  • Peter Carr & Roger Lee & Liuren Wu, 2012. "Variance swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 16(2), pages 335-355, April.
  • Handle: RePEc:spr:finsto:v:16:y:2012:i:2:p:335-355 DOI: 10.1007/s00780-011-0157-9
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    File URL: http://hdl.handle.net/10.1007/s00780-011-0157-9
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    References listed on IDEAS

    as
    1. 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.
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    Citations

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    Cited by:

    1. Lian, Guanghua & Chiarella, Carl & Kalev, Petko S., 2014. "Volatility swaps and volatility options on discretely sampled realized variance," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 239-262.
    2. Xiao Xiao & Chen Zhou, 2017. "Entropy-based implied moments," DNB Working Papers 581, Netherlands Central Bank, Research Department.
    3. Peter Carr & Roger Lee, 2013. "Variation and share-weighted variation swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 17(4), pages 685-716, October.
    4. David Hobson & Martin Klimmek, 2012. "Model-independent hedging strategies for variance swaps," Finance and Stochastics, Springer, vol. 16(4), pages 611-649, October.
    5. Friedrich Hubalek & Martin Keller-Ressel & Carlo Sgarra, 2014. "Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps," Papers 1407.2514, arXiv.org.
    6. Akira Yamazaki, 2014. "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 17(1), pages 79-111, April.
    7. Roman V. Ivanov & Katsunori Ano, 2016. "On exact pricing of FX options in multivariate time-changed Lévy models," Review of Derivatives Research, Springer, vol. 19(3), pages 201-216, October.
    8. Gong, Xiaoli & Zhuang, Xintian, 2017. "American option valuation under time changed tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 57-68.
    9. Wendong Zheng & Chi Hung Yuen & Yue Kuen Kwok, 2016. "Recursive Algorithms For Pricing Discrete Variance Options And Volatility Swaps Under Time-Changed Lévy Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-29, March.
    10. Coqueret, Guillaume & Tavin, Bertrand, 2016. "An investigation of model risk in a market with jumps and stochastic volatility," European Journal of Operational Research, Elsevier, vol. 253(3), pages 648-658.
    11. Carole Bernard & Zhenyu Cui, 2013. "Prices and Asymptotics for Discrete Variance Swaps," Papers 1305.7092, arXiv.org.
    12. Semere Habtemicael & Indranil SenGupta, 2016. "Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-35, December.
    13. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
    14. Roman Ivanov, 2015. "The distribution of the maximum of a variance gamma process and path-dependent option pricing," Finance and Stochastics, Springer, vol. 19(4), pages 979-993, October.
    15. repec:eee:ejores:v:262:y:2017:i:1:p:381-400 is not listed on IDEAS
    16. Robert Jarrow & Younes Kchia & Martin Larsson & Philip Protter, 2013. "Discretely sampled variance and volatility swaps versus their continuous approximations," Finance and Stochastics, Springer, vol. 17(2), pages 305-324, April.

    More about this item

    Keywords

    Variance swap; Lévy process; Time change; 60G51; 91B28; G13;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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