Results 211 to 220 of about 985,955 (228)

A finite-difference method for the valuation of variance swaps

The Journal of Computational Finance, 2001
AbstractWe develop here a finite difference approach for valuing a discretely sampled variance swap within a Black-Scholes framework. This approach incorporates the observed volatility skew and is capable of handling various definitions of the variance.
Thomas Little, Vijay Pant
openaire   +2 more sources

Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option

Mathematics and Financial Economics, 2019
I. Sengupta, W. Wilson, W. Nganje
semanticscholar   +2 more sources

A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps

Applied Mathematical Finance, 2011
Abstract Analytic solutions are found for prices of variance and volatility swaps under a new time-dependent stochastic model for the dynamics of variance. The main features of the new stochastic differential equation are (1) an empirically validated cν3/2 diffusion term and (2) a free function of time as a moving target in a reversion term, allowing ...
openaire   +3 more sources

Fast Calibration of Options on Variance Swaps

SSRN Electronic Journal, 2008
Using the properties of the Affine and Quadratic models we derive the dynamic of the variance swaps. We then modify the option pricing approximation technique described by Bloch in Fast calibration of the Affine and Quadratic models in order to approximate the price of European options on variance swaps.
openaire   +2 more sources

Volatility and Variance Swap Using Superposition of the Barndorff-Nielsen and Shephard type Lévy Processes

Sankhya B, 2019
S. Habtemicael, M. Ghebremichael, I. Sengupta   +2 more
semanticscholar   +2 more sources

Volatility Swap Pricing and Variance Swap Pricing under the Mean-Reverting Gaussian Model

, 2020
Rui Duan
semanticscholar   +1 more source

Variance Swap Pricing under Hybrid Jump Model

, 2020
S. Liu
semanticscholar   +1 more source

Variance Swap Pricing under an Extension of Mean-Reverting Gaussian Model

, 2020
Rui Duan
semanticscholar   +1 more source

MODEL‐INDEPENDENT LOWER BOUND ON VARIANCE SWAPS

Mathematical Finance, 2011
It is well known that, under a continuity assumption on the price of a stock S, the realized variance of S for maturity T can be replicated by a portfolio of calls and puts maturing at T. This paper assumes that call prices on S maturing at T are known for all strikes but makes no continuity assumptions on S.
openaire   +3 more sources

Closed-form variance swap prices under general affine GARCH models and their continuous-time limits

Annals of Operations Research, 2017
A. Badescu, Zhenyu Cui, J. Ortega
semanticscholar   +1 more source