Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

By Robert J. R. Elliott, Tak Kuen Siu, Leunglung Chan. 2007

142 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/30c23310c50f44a96650455042b1572977d8c682

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Guang-Hua Lian
2. Robert J. R. Elliott
3. Song‐Ping Zhu
4. M. Mazur
5. Joanna M. Goard
6. Tak Kuen Siu
7. Andrew Papanicolaou
8. Leunglung Chan

In Finance

1. Guang-Hua Lian
2. Robert J. R. Elliott
3. Tak Kuen Siu
4. Song‐Ping Zhu
5. M. Mazur
6. Joanna M. Goard
7. Leunglung Chan
8. John W. Lau

Citations in the corpus

• A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2010, methodology): “More recently, Elliott et al. (2007) proposed a model to evaluate variance swaps and volatility swaps under a continuous-time Markov-modulated version of the stochastic volatility with regime switching, with both probabilistic and PDE approaches being discussed. All these stochastic volatility model”
• STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (2013, methodology): “This includes models of the form (1.1) as well as the popular Heston (1993) model where w = V2 follows a mean-reverting square-root process dw = (a − bw) dt + c√wd Z (see, e.g., Broadie and Jain 2008; Elliott, Siu, and Chan 2007).”
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, methodology): “For this reason, we call the approach a semiMonte-Carlo simulation in contrast to the Monte-Carlo algorithm introduced by Elliott et al. (2007) which discretizes the regime-switching asset model.”
• A regime-switching Heston model for VIX and S&P 500 implied volatilities (2014, background): “Chan, Elliot and Siu (2007) and Chan et al. (2007) propose an extended Heston model, where the parameters in the volatility process are modulated by a Markov chain, and they analyse the pricing of variance swaps and other derivatives.”
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (2007, background): “[11] considered the pricing and hedging of variance swaps and volatility swaps under a Markov-modulated Heston’s stochastic volatility model.”