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A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model [PDF]
Comput Econ, 2021 Youngin Yoon, Jeong‐Hoon Kim
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Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance [PDF]
Computational and Applied Mathematics, 2022 Youngin Yoon +2 more
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Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models [PDF]
arXiv, 2017 In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in financial market. We use convexity correction approximation technique and Laplace transform method to evaluate volatility strikes and estimate VIX future prices.
Anatoliy Swishchuk, Zijia Wang
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Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model [PDF]
, 2021 Shican Liu +3 more
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Credit Default Swap Spreads and Variance Risk Premia [PDF]
, 2010 Hao Zhou, Wang Hao, Yi Zhou
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Multiscale stochastic volatility for variance swaps with constant elasticity of variance [PDF]
, 2022 Ji-Su Yu, Jeong‐Hoon Kim
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Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case [PDF]
, 2023 Anqi Zou, Jiajie Wang, Chi-Ye Wu
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Variance Dispersion and Correlation Swaps [PDF]
, 2007 Antoine Jacquier, Saad Slaoui
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