Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
نویسندگان
چکیده
منابع مشابه
Option Valuation under Stochastic Volatility
Reasonable efforts have been made to publish reliable data and information, but the author and the publisher cannot assume responsibility for the validity of all materials or the consequences of their use. All information, including formulas, documentation, computer algorithms, and computer code are provided with no warranty of any kind, express or implied. Neither the author nor the publisher ...
متن کاملPricing variance swaps under stochastic volatility and stochastic interest rate
In this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic volatility and stochastic interest rate. In particular, our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, whereas the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) model. We first extend the framework of [119] by ...
متن کاملPricing Variance Swaps with Stochastic Volatility
Following the pricing approach proposed by Zhu & Lian [19], we present an exact solution for pricing variance swaps with the realized variance in the payoff function being a logarithmic return of the underlying asset at some pre-specified discrete sampling points. Our newly-found pricing formula is based on the Heston’s [8] two-factor stochastic volatility model. The discovery of this exact and...
متن کاملExotic derivatives under stochastic volatility models with jumps
In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically tractable formulae for the prices of a range of first-generation exotic derivatives. We provide closed form formulae for the Fourier transforms of vanilla a...
متن کاملStochastic Volatility with Reset at Jumps
This paper presents a model for asset returns incorporating both stochastic volatility and jump e ects. The return process is driven by two types of randomness: small random shocks and large jumps. The stochastic volatility process is a ected by both types of randomness in returns. Speci cally, in the absence of large jumps, volatility is driven by the small random shocks in returns through a G...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2019
ISSN: 0096-3003
DOI: 10.1016/j.amc.2019.02.063