Spectral Methods for Volatility Derivatives

Moment Methods for Exotic Volatility Derivatives

The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an operator algebraic treatment of this problem based on Dyson expansions and moment methods and discuss applications to exotic volatility derivatives. The method...

Volatility Derivatives

Volatility derivatives are a class of derivative securities where the payoff explicitly depends on some measure of the volatility of an underlying asset. Prominent examples of these derivatives include variance swaps and VIX futures and options. We provide an overview of the current market for these derivatives. We also survey the early literature on the subject. Finally, we provide relatively ...

Finite Difference Methods in Derivatives Pricing under Stochastic Volatility Models

islanding detection methods for microgrids

امروزه استفاده از منابع انرژی پراکنده کاربرد وسیعی یافته است . اگر چه این منابع بسیاری از مشکلات شبکه را حل می کنند اما زیاد شدن آنها مسائل فراوانی برای سیستم قدرت به همراه دارد . استفاده از میکروشبکه راه حلی است که علاوه بر استفاده از مزایای منابع انرژی پراکنده برخی از مشکلات ایجاد شده توسط آنها را نیز منتفی می کند . همچنین میکروشبکه ها کیفیت برق و قابلیت اطمینان تامین انرژی مشترکان را افزایش ...

New solvable stochastic volatility models for pricing volatility derivatives

Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter γ takes just few values: 0 the Ornstein-Uhlenbeck process, 1/2 the Heston (or square root) process, 1GARCH, and 3/2 the 3/2 model. Some other models were discovered in Henry-Labordére (2009) by making connection between stochastic volatility and solvable diffusion processes...